Work

Calendar effects on returns, volatility and higher moments: Evidence from crypto markets

Year: 2025

Type: paratext

Abstract: This study aims to investigate calendar effects in the cryptocurrency market. We consider the day-of-the-week, the month-of-the-year, quarter-of-the-year, the US Holidays, and Weekend calendar anomalies for the leading cryptocurrencies: Bitcoin, Dash, Dogecoin, Ethereum, Litecoin, Monero Ripple, and Stellar. Our study employs the Autoregressive Conditional Density model with dummy variables to scrutinize these calendar effects. We find anomalies in the mean, variance, skewness, and kurtosis for these cryptocurrencies’ returns. Our result suggests that the cryptocurrency market in some periods tends to violate the Efficient Market Hypothesis.

Source: The North American Journal of Economics and Finance

DOI: 10.1016/j.najef.2025.102441

Authors: Bernardina Algieri, Kokulo K. Lawuobahsumo, Arturo Leccadito, Iliess Zahid

Institutions: University of Bonn, University of Calabria, UCLouvain

Language: English

Topic: Financial Markets and Investment Strategies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: hybrid

Estimated APC paid: $3,050

OpenAlex ID: W4392875009

Cites: 63

Cited by: 5

Related to: 10