Calendar effects in Bitcoin returns and volatility

• Published in: Finance research letters 2021-01, Vol.38, p.101420, Article 101420
• Main Authors: Kinateder, Harald, Papavassiliou, Vassilios G.
• Format: Article
• Language: English
• Subjects: Bitcoin; Calendar anomalies; Efficient market hypothesis; GARCH dummy model; Seasonalities
• ISSN: 1544-6123; 1544-6131
• DOI: 10.1016/j.frl.2019.101420

•GARCH dummy approach and robust analysis of calendar effects in Bitcoin returns and volatility.•Mild evidence of a reversed January effect in Bitcoin returns.•No evidence of a Halloween anomaly and a classical DOW effect in Bitcoin returns.•Stronger evidence of calendar effects in Bitcoin's conditional volatility than in Bitcoin's returns. We use a GARCH dummy model to study the influence of calendar effects on daily conditional returns and volatility of Bitcoin during the period 2013–2019. The Halloween, day-of-the-week (DOW), and month-of-the-year (MOY) effects are analyzed. Our results reveal no evidence of a Halloween calendar anomaly. A classical DOW effect is not present in Bitcoin returns, however, we find significantly lower risk over the weekend whilst in the beginning of the week Bitcoin's volatility is more intense. Moreover, supporting evidence of a reverse January effect is detected. Our results also show that investors’ risk drops substantially in September.