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18 décembre 2020
- handle: 10670/1.n7gbek
- hal: hal-03701815
- doi: 10.1007/978-3-030-64849-7_16
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info:eu-repo/semantics/altIdentifier/doi/10.1007/978-3-030-64849-7_16
http://creativecommons.org/licenses/by/ , info:eu-repo/semantics/OpenAccess
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D. Susana et al., « A Study on Calendar Anomalies in the Cryptocurrency Market », HAL-SHS : sciences de l'information, de la communication et des bibliothèques, ID : 10.1007/978-3-030-64849-7_16
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Résumé
Cryptocurrencies are sub-classes of digital currencies. Trading of these currencies have gained momentum during the past few years and have become new investment avenues for investors. An understanding on the market anomalies, which are patterns in asset prices would help the investors to adopt suitable strategies while trading in this asset class. This study aims to examine the presence of three calendar anomalies, day of the week, turn of the month, and year end effect in the cryptocurrencies. The top five cryptocurrencies which constitute a major share of the market capitalization value are selected for the study and the period of study is from July 23, 2017 to July 9, 2020. Dummy Variable Regression using GARCH (1, 1) model was employed on the log value of returns of the cryptocurrencies. The study provides evidence on the existence of anomalies during Thursdays, the months March and April, and at the turn of the year.