The day of the week effect in the cryptocurrency market

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Title	The day of the week effect in the cryptocurrency market
Authors	Caporale, M.G. Plastun, Oleksii Leonidovych
ORCID	http://orcid.org/0000-0001-8208-7135
Keywords	Efficient Market Hypothesis cryptocurrency bitcoin trading strategy
Type	Article
Date of Issue	2019
URI	http://essuir.sumdu.edu.ua/handle/123456789/76112
Publisher	Elsevier
License	Copyright not evaluated
Citation	Caporale, G.M. The day of the week effect in the cryptocurrency market / G.M. Caporale, A. Plastun // Finance Research Letters. – 2019. – 31. – https://doi.org/10.1016/j.frl.2018.11.012.
Abstract	This paper examines the day of the week effect in the cryptocurrency market using a variety of statistical techniques (average analysis, Student's t-test, ANOVA, the Kruskal–Wallis test, and regression analysis with dummy variables) as well as a trading simulation approach. Most crypto currencies (LiteCoin, Ripple, Dash) are found not to exhibit this anomaly. The only exception is BitCoin, for which returns on Mondays are significantly higher than those on the other days of the week. In this case the trading simulation analysis shows that there exist exploitable profit opportunities; however, most of these results are not significantly different from the random ones and therefore cannot be seen as conclusive evidence against market efficiency.
Appears in Collections:	Наукові видання (ННІ БТ)