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Dergiler / Yönetim ve Ekonomi Araştırmaları Dergisi / 2023 / Cilt: 21 Sayı: 4

CAN CRYPTOCURRENCY MARKETS BE BEATEN? CALENDAR ANOMALIES ASPECT

Süreyya İmre(İSTANBUL GELİŞİM ÜNİVERSİTESİ)0000-0001-8904-6635
Orhan Özaydın(NİŞANTAŞI ÜNİVERSİTESİ)0000-0003-2585-1437
Sayfa
17–36
Yayın Tarihi
2024-01-01
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Yapay Zeka Hızlı Bakış & Çıkarımlar

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⚡ TL;DR(1 Cümlede Hızlı Çıkarım)

In detail, every cryptocurrency has at least one calendar anomaly.

📌 3 Maddede Bu Makale

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Amaç & Hipotez:The cryptocurrency market is so recent and emerging.
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Temel Bulgular & Veri:This study applied to a comprehensive empirical research including 5 calendar effect anomaly on top 9 cryptocurrencies.
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Sonuç & Katkı:In detail, every cryptocurrency has at least one calendar anomaly.
🔬Tür:Modelleme & Sayısal Simülasyon
📍Kapsam:Genişletilmiş Akademik Örneklem
⚙️Değişkenler:GARCH Models · Cryptocurrencies · Calendar Anomalies

Abstract

The cryptocurrency market is so recent and emerging. As done for every financial market, the participants of this market act to beat it by using historical price data. In literature, traditional financial markets, e.g. stock and exchange, are non-effective due to calendar anomaly, by period. This study applied to a comprehensive empirical research including 5 calendar effect anomaly on top 9 cryptocurrencies. Thanks to GARCH model, not returns only but also variances were examined. Generally, cryptocurrencies have weak form and non-efficient market. In detail, every cryptocurrency has at least one calendar anomaly.

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Bu Makaleye Atıf Yap

İmre, S., Özaydın, O. (2024). CAN CRYPTOCURRENCY MARKETS BE BEATEN? CALENDAR ANOMALIES ASPECT. Yönetim ve Ekonomi Araştırmaları Dergisi, Cilt: 21 Sayı: 4, 17–36. https://doi.org/10.11611/yead.1211806

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Kaynakça (6)

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  6. Caporale, G. M. and Plastun, A. (2017) “The Day of the Week Effect in the Crypto Currency Market”, German Institute for Economic Research, 31(C), 1-19.