Bitcoin time-of-day, day-of-week and month-of-year effects in returns and trading volume

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Abstract

There is a large literature that analyzes time-specific anomalies in equity markets such as the Monday effect, the January effect and the Halloween effect. This study reports intra-day time-of-day, day-of-week, and month-of-year effects for Bitcoin returns and trading volume. Using more than 15 million observations from seven global and continuously-traded Bitcoin exchanges, we find time-specific anomalies in returns but no persistent effects across time. In contrast, we find persistent differences in trading activity across all exchanges with lower activity during local evening hours and on weekends. The results suggest that both retail and institutional investors are actively trading Bitcoin.

Original languageEnglish
Pages (from-to)78-92
Number of pages15
JournalFinance Research Letters
Volume31
DOIs
Publication statusPublished - 1 Dec 2019

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Trading volume
Anomaly
Retail
Equity markets
January effect
Institutional investors
Trading activity
Monday effect

Cite this

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title = "Bitcoin time-of-day, day-of-week and month-of-year effects in returns and trading volume",
abstract = "There is a large literature that analyzes time-specific anomalies in equity markets such as the Monday effect, the January effect and the Halloween effect. This study reports intra-day time-of-day, day-of-week, and month-of-year effects for Bitcoin returns and trading volume. Using more than 15 million observations from seven global and continuously-traded Bitcoin exchanges, we find time-specific anomalies in returns but no persistent effects across time. In contrast, we find persistent differences in trading activity across all exchanges with lower activity during local evening hours and on weekends. The results suggest that both retail and institutional investors are actively trading Bitcoin.",
keywords = "Arbitrage, Bitcoin, Day-of-week effects, Halloween effect, January effect, Market efficiency",
author = "Baur, {Dirk G.} and Daniel Cahill and Keith Godfrey and Zhangxin (Frank)Liu",
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AU - Baur, Dirk G.

AU - Cahill, Daniel

AU - Godfrey, Keith

AU - (Frank)Liu, Zhangxin

PY - 2019/12/1

Y1 - 2019/12/1

N2 - There is a large literature that analyzes time-specific anomalies in equity markets such as the Monday effect, the January effect and the Halloween effect. This study reports intra-day time-of-day, day-of-week, and month-of-year effects for Bitcoin returns and trading volume. Using more than 15 million observations from seven global and continuously-traded Bitcoin exchanges, we find time-specific anomalies in returns but no persistent effects across time. In contrast, we find persistent differences in trading activity across all exchanges with lower activity during local evening hours and on weekends. The results suggest that both retail and institutional investors are actively trading Bitcoin.

AB - There is a large literature that analyzes time-specific anomalies in equity markets such as the Monday effect, the January effect and the Halloween effect. This study reports intra-day time-of-day, day-of-week, and month-of-year effects for Bitcoin returns and trading volume. Using more than 15 million observations from seven global and continuously-traded Bitcoin exchanges, we find time-specific anomalies in returns but no persistent effects across time. In contrast, we find persistent differences in trading activity across all exchanges with lower activity during local evening hours and on weekends. The results suggest that both retail and institutional investors are actively trading Bitcoin.

KW - Arbitrage

KW - Bitcoin

KW - Day-of-week effects

KW - Halloween effect

KW - January effect

KW - Market efficiency

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SP - 78

EP - 92

JO - Finance Research Letters

JF - Finance Research Letters

SN - 1544-6123

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