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

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. • Calendar effects in higher moments are assessed for cryptocurrency markets. • Autoregressive Conditional Density models with dummy variables are adopted. • Several forms of calendar anomalies are detected. • There are anomalies in the mean, variance, skewness, and kurtosis of returns. • The cryptocurrency market in some periods violates the Efficient Market Hypothesis.