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Journals / Alanya Akademik Bakış / 2020 / Cilt: 4 - Sayı: 1

The Day of the Week Anomaly in Bitcoin Market

Bitcoin Piyasasında Haftanın Günü Anomalisi

Samet EVCİ
Pages
53–61
Publication Date
2022-10-12
DOI
—
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

The findings of the study revealed that Monday, Thursday and Sunday had negative effects on Bitcoin returns and the maximum loss occurred on Thursday.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:The cryptocurrency market has developed very rapidly in the short term and attracted the attention of both investors and academicians.
📊
Key Findings & Data:Day-of-week anomaly in Bitcoin returns was analyzed using asymmetric GARCH model using daily prices for 2013-2019.
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Conclusion & Impact:The findings of the study revealed that Monday, Thursday and Sunday had negative effects on Bitcoin returns and the maximum loss occurred on Thursday.
🔬Design:Modeling & Simulation
📍Scope:2013-2019 Verileri
⚙️Variables:Domain Parameters

Abstract

The cryptocurrency market has developed very rapidly in the short term and attracted the attention of both investors and academicians. Bitcoin has the highest market capitalization in cryptocurrency market. Because Bitcoin has a different market operation than traditional financial markets and uses a different system in the process of creating money, investors need to understand the factors that lead to changes in Bitcoin prices. The aim of this study is to investigate the presence of anomaly in the day of the week in Bitcoin prices. Day-of-week anomaly in Bitcoin returns was analyzed using asymmetric GARCH model using daily prices for 2013-2019. The findings of the study revealed that Monday, Thursday and Sunday had negative effects on Bitcoin returns and the maximum loss occurred on Thursday.

Özet

Kripto para piyasası kısa dönemde çok hızlı bir gelişim göstermiş hemyatırımcıların hem de akademisyenlerin ilgisini çekmiştir. Bu piyasada enfazla piyasa değerine sahip kripto para birimi Bitcoin’dir. Gerek gelenekselfinansal piyasaların işleyişinden farklı bir piyasa işleyişine sahip olmasıgerekse para yaratma sürecinde farklı bir sistemi kullanması yatırımcılaraçısından Bitcoin fiyatlarında değişime yol açan faktörleri anlamayı gereklikılmaktadır. Bu çalışma ile Bitcoin fiyatlarında haftanın günü anomalisininvarlığının araştırılması amaçlanmıştır. Bitcoin getirilerinde haftanın günüanomalisi, 2013-2019 yıllarına ait günlük fiyatlar kullanılarak asimetrikGARCH modeliyle incelenmiştir. Çalışmadan elde edilen bulgular Bitcoingetirileri üzerinde Pazartesi, Perşembe ve Pazar günlerinin negatif etkileriolduğunu ve en fazla kaybın Perşembe günü gerçekleştiğini ortayakoymuştur.

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Cite This Article

EVCİ, S. (2022). The Day of the Week Anomaly in Bitcoin Market. Alanya Akademik Bakış, Cilt: 4 - Sayı: 1, 53–61. https://ajindex.com/articles/434802

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