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The day of the week effect in the crypto currency market
| Content Provider | EconStor |
|---|---|
| Author | Caporale, Guglielmo Maria Plastun, Alex |
| Abstract | This paper examines the day of the week effect in the crypto currency 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 that can be interpreted as evidence against efficiency of the crypto currency market. |
| File Format | |
| Language | English |
| Publisher | Deutsches Institut für Wirtschaftsforschung (DIW) |
| Publisher Date | 2017-01-01 |
| Publisher Place | Berlin |
| Access Restriction | Open |
| Rights Holder | http://www.econstor.eu/dspace/Nutzungsbedingungen |
| Subject Keyword | Efficient Market Hypothesis day of the week effect crypto currency BitCoin anomaly trading strategy Asset Pricing; Trading Volume; Bond Interest Rates Computational Techniques; Simulation Modeling |
| Content Type | Text |
| Resource Type | Article |
