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Bitcoin and the day-of-the-week effect · Study

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ArticleBitcoin and the day-of-the-week effect

David Y. Aharon2018

Article2018

Bitcoin and the day-of-the-week effect

David Y. Aharon · Mahmoud Qadan

116 citations·0/0 files stored·Finance research letters

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Stock Market Forecasting Methods

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References

1993Common risk factors in the returns on stocks and bonds 1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency 1980On the Impossibility of Informationally Efficient Markets 1980On the Impossibility of Informationally Efficient Markets 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances 1996Numerical distribution functions for unit root and cointegration tests

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2022Cue the volatility spillover in the cryptocurrency markets during the COVID-19 pandemic: evidence from DCC-GARCH and wavelet analysis 2021Speculation and lottery-like demand in cryptocurrency markets 2019Calendar effects in Bitcoin returns and volatility 2021Is Bitcoin a better portfolio diversifier than gold? A copula and sectoral analysis for China 2019The day-of-the-week effect on Bitcoin return and volatility

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2021A Survey on Volatility Fluctuations in the Decentralized Cryptocurrency Financial Assetsarticle · 8 shared references 2012The day-of-the-week effect revisited: international evidencearticle · 8 shared references 2019CRYPTOCURRENCIES IN FINANCE: REVIEW AND APPLICATIONSarticle · 8 shared references 2003The day of the week effect on stock market volatility and volume: International evidencearticle · 7 shared references 2003A Survey of the Monday Effect Literaturearticle · 7 shared references 2008Return Differences between Trading and Non-Trading Hours: Like Night and Daypreprint · 7 shared references

Details

Year2018

Typearticle

Published2018-12-08

VenueFinance research letters

ISSN-L1544-6123

Languageen

Citations116

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.frl.2018.12.004

openalex_workW2904762425

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2021Seasonal and Calendar Effects and the Price Efficiency of Cryptocurrencies

2020Testing the random walk hypothesis for leading cryptocurrencies

2021A Survey on Volatility Fluctuations in the Decentralized Cryptocurrency Financial Assets