Seasonality in Cryptocurrencies

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Referenz

Kaiser, L. (in press). Seasonality in Cryptocurrencies. Finance Research Letters. (ABDC_2016: B; ABS: 2; ISI: 0.842; ISI: 0.762; VHB_3: B)

Publikationsart

Artikel in Journal

Abstract

Considering a relatively large cross-section of ten cryptocurrencies, we test for the existence of well-known equity seasonality patterns with respect to cryptocurrency returns, daily volatility, trading volume and a spread estimator. Whilst we do not observe consistent and robust calendar effects in cryptocurrency returns and consequently cannot reject the weak-form market efficiency, we do observe robust patterns in trading activity across the ten largest cryptocurrencies. As such, trading volume, volatility and spreads are on average lower in January, on weekends and during the summer months. Besides, we also report a strong impact on the direction and significance of monthly seasonality patterns due to the stark market sell-off in January 2018, which has to be accounted for.

Mitarbeiter

Einrichtungen

  • Lehrstuhl für Betriebswirtschaftslehre, Bank- und Finanzmanagement
  • Institut für Finance

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Link

DOI

http://dx.doi.org/10.1016/j.frl.2018.11.007