Ramadan effect in the cryptocurrency markets

IF 1.9 Q2 BUSINESS, FINANCE

Review of Behavioral Finance Pub Date : 2022-05-27 DOI:10.1108/rbf-09-2021-0173

Carmen López-Martín

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引用次数: 2

Abstract

PurposeThis paper examines the effect of the holy month of Ramadan on the returns and conditional volatility of cryptocurrency markets.Design/methodology/approachThe closing prices of six cryptocurrencies have been considered. The study employs different classical tests for checking if the efficiency behaviour is similar during Ramadan celebration days and non-Ramadan days. Besides, dummy variable regression technique for assessing this anomaly on returns and volatilities has been applied.FindingsAlthough no significant effect on returns and volatility for Litecoin has been found, the results provide evidence about the existence of the Ramadan effects in cryptocurrency markets. The results of the mean equations show the existence of Ramadan effect for Ethereum, Ripple, Stellar and BinanceCoin for all considered models. Significant effect on Bitcoin returns is found with an autoregressive model of order 1. The results of conditional volatility show Ramadan effect on volatility is not detected.Originality/valueFirst, a new contribution in the incipient study of cryptocurrency analysis. Second, a comprehensive review of recently published empirical articles about Ramadan effect on traditional assets has been carried out. Third, unlike most of the papers focussed on the study of Bitcoin, this study has been extended to six cryptocurrencies. Ramadan effect have not been analysed in cryptomarkets yet. This study come to fill this gap and analyses Ramadan effect, previously documented for traditional assets, in particular, stock index from Muslim countries, but not yet analysed in the cryptocurrency markets.

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加密货币市场的斋月效应

本文研究了斋月对加密货币市场回报和条件波动的影响。六种加密货币的收盘价已经被考虑。该研究采用了不同的经典测试来检验在斋月庆祝日和非斋月期间的效率行为是否相似。此外，本文还应用了虚拟变量回归技术来评估这种收益和波动的异常。虽然没有发现对莱特币的回报和波动性有显著影响，但研究结果为加密货币市场存在斋月效应提供了证据。平均方程的结果表明，在所有考虑的模型中，以太坊、Ripple、Stellar和BinanceCoin都存在斋月效应。通过阶为1的自回归模型发现对比特币收益的显著影响。条件波动率的结果表明，斋月效应对波动率没有影响。原创性/价值首先，对加密货币分析的初步研究的新贡献。其次，对近期发表的关于斋月对传统资产影响的实证文章进行了全面梳理。第三，与大多数专注于比特币研究的论文不同，这项研究已经扩展到六种加密货币。斋月效应在加密货币市场尚未得到分析。这项研究填补了这一空白，并分析了斋月效应，这是以前记录的传统资产，特别是穆斯林国家的股票指数，但尚未在加密货币市场进行分析。

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

Review of Behavioral Finance BUSINESS, FINANCE-

CiteScore

4.70

自引率

5.00%

发文量

期刊介绍： Review of Behavioral Finance publishes high quality original peer-reviewed articles in the area of behavioural finance. The RBF focus is on Behavioural Finance but with a very broad lens looking at how the behavioural attributes of the decision makers influence the financial structure of a company, investors’ portfolios, and the functioning of financial markets. High quality empirical, experimental and/or theoretical research articles as well as well executed literature review articles are considered for publication in the journal.