Calendar effects on returns, volatility and higher moments: Evidence from crypto markets

IF 3.8 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance Pub Date : 2025-05-22 DOI:10.1016/j.najef.2025.102441

Bernardina Algieri , Kokulo K. Lawuobahsumo , Arturo Leccadito , Iliess Zahid

引用次数: 0

Abstract

This study aims to investigate calendar effects in the cryptocurrency market. We consider the day-of-the-week, the month-of-the-year, quarter-of-the-year, the US Holidays, and Weekend calendar anomalies for the leading cryptocurrencies: Bitcoin, Dash, Dogecoin, Ethereum, Litecoin, Monero Ripple, and Stellar. Our study employs the Autoregressive Conditional Density model with dummy variables to scrutinize these calendar effects. We find anomalies in the mean, variance, skewness, and kurtosis for these cryptocurrencies’ returns. Our result suggests that the cryptocurrency market in some periods tends to violate the Efficient Market Hypothesis.

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日历对回报、波动性和更高时刻的影响：来自加密市场的证据

本研究旨在调查加密货币市场的日历效应。我们考虑了主要加密货币（比特币、达世币、狗狗币、以太坊、莱特币、门罗币、瑞波币和恒星币）的一周中的一天、一年中的一个月、一年中的一个季度、美国假期和周末日历异常。我们的研究采用带有虚拟变量的自回归条件密度模型来仔细检查这些日历效应。我们发现这些加密货币收益的均值、方差、偏度和峰度都存在异常。我们的研究结果表明，加密货币市场在某些时期倾向于违反有效市场假说。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

North American Journal of Economics and Finance Multiple-

CiteScore

7.30

自引率

8.30%

发文量

168

期刊介绍： The focus of the North-American Journal of Economics and Finance is on the economics of integration of goods, services, financial markets, at both regional and global levels with the role of economic policy in that process playing an important role. Both theoretical and empirical papers are welcome. Empirical and policy-related papers that rely on data and the experiences of countries outside North America are also welcome. Papers should offer concrete lessons about the ongoing process of globalization, or policy implications about how governments, domestic or international institutions, can improve the coordination of their activities. Empirical analysis should be capable of replication. Authors of accepted papers will be encouraged to supply data and computer programs.