Abstract
Original language | English |
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Publication status | Published - 17 Dec 2017 |
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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
TY - UNPB
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 -