Year: 2024
Type: article
Abstract: Cryptocurrencies can be negotiated during trading and non-trading days. Such characteristic enables some innovative analysis between contemporary financial resources and the traditional market assets. In this manuscript, we focus on two assets that are related to the same commodity: coffee. Therefore, the main purpose of this paper was to analyze the impact of returns-based information during non-trading days from a coffee-related cryptocurrency (namely: Coffee Coin® - CFCN) on the returns of coffee futures returns after these non-trading days. The dataset comprises historical prices of BM&F Arabica Coffee Futures, collected from Refinitiv Eikon (Thomson Reuters). Based on time series analysis, the main results suggest that CFCN volatility on non-trading days (particularly, holidays) can be used as a relevant indicator related to coffee futures contract. This evidence can also complement the literature on market anomalies, since we address two calendar patterns: the Monday and the Holiday effects.
Source: Brazilian Review of Finance
Institution: Universidade Federal de Uberlândia
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: diamond
OpenAlex ID: W4405280072