Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/171314
Authors: 
Caporale, Guglielmo Maria
Plastun, Alex
Year of Publication: 
2017
Series/Report no.: 
DIW Discussion Papers 1694
Abstract: 
This paper examines the day of the week effect in the crypto currency market using a variety of statistical techniques (average analysis, Student's t-test, ANOVA, the Kruskal- Wallis test, and regression analysis with dummy variables) as well as a trading simulation approach. Most crypto currencies (LiteCoin, Ripple, Dash) are found not to exhibit this anomaly. The only exception is BitCoin, for which returns on Mondays are significantly higher than those on the other days of the week. In this case the trading simulation analysis shows that there exist exploitable profit opportunities that can be interpreted as evidence against efficiency of the crypto currency market.
Subjects: 
Efficient Market Hypothesis
day of the week effect
crypto currency
BitCoin
anomaly
trading strategy
JEL: 
G12
C63
Document Type: 
Working Paper

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