Bitcoin Time-of-Day, Day-of-Week and Month-of-Year Effects in Returns and Trading Volume

Dirk Baur, Daniel Cahill, Keith Godfrey, Zhangxin Liu

Research output: Working paper

Abstract

There is a large literature that reports time-specific anomalies in equity markets such as the Monday effect, the January effect and the Halloween effect. This study is the first to report intra-day time-of-day, day-of-week, and month-of-year effects for Bitcoin returns and trading volume. Using more than 15 million price and trading volume observations from seven global Bitcoin exchanges reveal time-varying effects but no consistent or persistent patterns across the sample period. The results suggest that Bitcoin markets are efficient.
Original languageEnglish
Publication statusPublished - 17 Dec 2017

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Trading volume
Time-varying
Equity markets
January effect
Monday effect
Anomaly

Cite this

Baur, Dirk ; Cahill, Daniel ; Godfrey, Keith ; Liu, Zhangxin. / Bitcoin Time-of-Day, Day-of-Week and Month-of-Year Effects in Returns and Trading Volume. 2017.
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Baur, D, Cahill, D, Godfrey, K & Liu, Z 2017 'Bitcoin Time-of-Day, Day-of-Week and Month-of-Year Effects in Returns and Trading Volume'.

Bitcoin Time-of-Day, Day-of-Week and Month-of-Year Effects in Returns and Trading Volume. / Baur, Dirk; Cahill, Daniel; Godfrey, Keith; Liu, Zhangxin.

2017.

Research output: Working paper

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T1 - Bitcoin Time-of-Day, Day-of-Week and Month-of-Year Effects in Returns and Trading Volume

AU - Baur, Dirk

AU - Cahill, Daniel

AU - Godfrey, Keith

AU - Liu, Zhangxin

PY - 2017/12/17

Y1 - 2017/12/17

N2 - There is a large literature that reports time-specific anomalies in equity markets such as the Monday effect, the January effect and the Halloween effect. This study is the first to report intra-day time-of-day, day-of-week, and month-of-year effects for Bitcoin returns and trading volume. Using more than 15 million price and trading volume observations from seven global Bitcoin exchanges reveal time-varying effects but no consistent or persistent patterns across the sample period. The results suggest that Bitcoin markets are efficient.

AB - There is a large literature that reports time-specific anomalies in equity markets such as the Monday effect, the January effect and the Halloween effect. This study is the first to report intra-day time-of-day, day-of-week, and month-of-year effects for Bitcoin returns and trading volume. Using more than 15 million price and trading volume observations from seven global Bitcoin exchanges reveal time-varying effects but no consistent or persistent patterns across the sample period. The results suggest that Bitcoin markets are efficient.

M3 - Working paper

BT - Bitcoin Time-of-Day, Day-of-Week and Month-of-Year Effects in Returns and Trading Volume

ER -

Baur D, Cahill D, Godfrey K, Liu Z. Bitcoin Time-of-Day, Day-of-Week and Month-of-Year Effects in Returns and Trading Volume. 2017 Dec 17.

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