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Journals / Turkish Studies - Social Sciences / 2019 / Cilt: 14 - Sayı: 5

CALENDAR ANOMALIES IN CRYPTOCURRENCIES

KRİPTO PARALARDA TAKVİM ANOMALİLERİ

Ayşegül ÇİMEN
Pages
2097–2116
Publication Date
2022-11-05
DOI
—
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AI Summary & Key Takeaways

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

Although turn of the montheffect is present for Crypto Currencies Index, day of the month effect isnot present.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:According to Efficient Market Hypothesis, markets reflect allavailable information to the investors.
📊
Key Findings & Data:One of the most important innovation and technologicaldevelopment in the financial markets is the introduction of Bitcoin.Bitcoin and blockchain sector was introduced in 2008 as a peer-to-peercash system (Nakamoto, 2008).
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Conclusion & Impact:Although turn of the montheffect is present for Crypto Currencies Index, day of the month effect isnot present.
🔬Design:Research Article
📍Scope:2008 Verileri
⚙️Variables:Domain Parameters

Abstract

According to Efficient Market Hypothesis, markets reflect allavailable information to the investors. For this reason, investors do nothave the chance to get abnormal return on their investments. At thispoint, Efficient Market hypothesis contradicts with the calendaranomalies. One of the most important innovation and technologicaldevelopment in the financial markets is the introduction of Bitcoin.Bitcoin and blockchain sector was introduced in 2008 as a peer-to-peercash system (Nakamoto, 2008). Since the introduction of firstcryptocurrency, which is Bitcoin, number of cryptocurrencies in thefinancial markets has risen rapidly. Investors’ awareness ofcryptocurrencies has also increased and these instruments have arising share in both the individual and institutional investors’ portfolios.There are many studies regarding the calendar anomalies for differenttime periods and different equity markets. However, due to being a newfinancial instrument, the literature that analyses the calendaranomalies in the cryptocurrency market is limited. This study aims tofill the gap in literature with an empirical analysis that focuses on theturn of the month effect and day of the month effect in cryptocurrencymarket for a period of January 01, 2015 and May 31, 2019. Dummyvariables are used to find out the turn of the month effect and day ofthe month effect throughout the month. Crypto currency index (CCI30)as well as the cryptocurrencies -Bitcoin and Litecoin are investigated forthe empirical analysis. Findings of the empirical analysis prove thepositive significance of turn of the month effect in Crypto CurrenciesIndex (CCI 30) and Litecoin for 10 % level. Coefficient for the Bitcoin isalso positive but not statistically significant. Although turn of the montheffect is present for Crypto Currencies Index, day of the month effect isnot present.

Özet

Etkin Piyasa Hipotezi'ne göre, piyasalar tüm mevcut bilgileri yatırımcılara yansıtmaktadır. Bu sebeple, yatırımcıların yatırımlarından anormal getiri elde etme şansları yoktur. Bu noktada, Etkin Piyasa Hipotezi, takvim anomalileriyle çelişmektedir. Finansal piyasalardaki en önemli yeniliklerden ve teknolojik gelişmelerden biri Bitcoin'in alımsatımının başlamasıdır. Bitcoin ve blockchain sektörü 2008 yılında tanıtıldı (Nakamoto, 2008). İlk kripto para birimi olan Bitcoin’in piyasaya sunulmasından bu yana finansal piyasalardaki kripto paraların sayısı hızla artmıştır. Yatırımcıların kripto paralar konusundaki farkındalığı da artmış ve bu finansal araçların hem bireysel hem de kurumsal yatırımcı portföylerindeki payı artmaktadır. Takvim anomalileri ile ilgili farklı sermaye piyasalarında, farklı zaman dilimlerinde yapılan birçok çalışma bulunmaktadır. Fakat, yeni bir finansal araç olması nedeniyle kripto para piyasasında takvim anomalilerini analiz eden çalışma sayısı sınırlıdır. Bu çalışmanın amacı literatürdeki boşluğu, 1 Ocak 2015 ve 31 Mayıs 2019 dönemlerinde kripto para piyasasında ay dönümü etkisi ve ayın günü etkisini ampirik olarak analiz ederek doldurmaktadır. Ay dönümü etkisi ve ayın günü etkisi için kukla değişkenler kullanılmaktadır. Ampirik analiz için kripto para endeksi (CCI30) ve kripto paralardan Bitcoin ve Litecoin kullanılmıştır. Ampirik analizin bulguları, kripto para endeksinde (CCI 30) ve Litecoin’de ay dönümü etkisinin % 10 anlamlılık düzeyinde pozitif olduğunu kanıtlamaktadır. Bitcoin için katsayı da pozitiftir ancak istatistiksel olarak anlamlı değildir. Her ne kadar Kripto Para Endeksi (CCI) için ay dönümü etkisi mevcut olsa da ayın günü etkisi bulunmamaktadır.

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Cite This Article

ÇİMEN, A. (2022). CALENDAR ANOMALIES IN CRYPTOCURRENCIES. Turkish Studies - Social Sciences, Cilt: 14 - Sayı: 5, 2097–2116. https://ajindex.com/articles/618082

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