Exploring Calendar Anomalies and Volatility Dynamics in Cryptocurrencies: A Comparative Analysis of Day-of-the-Week Effects before and during the COVID-19 Pandemic

This study investigates calendar anomalies and their impact on returns and volatility patterns in the cryptocurrency market, focusing on day-of-the-week effects before and during the COVID-19 pandemic. Using advanced statistical models from the GARCH family, we analyze the returns of Binance USD, Bitcoin, Binance Coin, Cardano, Dogecoin, Ethereum, Solana, Tether, USD Coin, and Ripple. Our findings reveal significant shifts in volatility dynamics and day-of-the-week effects on returns, challenging the notion of market efficiency. Notably, Bitcoin and Solana began exhibiting day-of-the-week effects during the pandemic, whereas Cardano and Dogecoin did not. During the pandemic, Binance USD, Ethereum, Tether, USD Coin, and Ripple showed multiple days with significant day-of-the-week effects. Notably, positive returns were generally observed on Sundays, whereas a shift to negative returns on Mondays was evident during the COVID-19 period. These patterns suggest that exploitable anomalies persist despite the market’s continuous operation and increasing maturity. The presence of a long-term memory in volatility highlights the need for robust trading strategies. Our research provides valuable insights for investors, traders, regulators, and policymakers, aiding in the development of effective trading strategies, risk management practices, and regulatory policies in the evolving cryptocurrency market.

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Publication Details

Journal
Journal of risk and financial management
Published
2024-08-12
DOI
https://doi.org/10.3390/jrfm17080351
Citations
7
Primary Topic
Financial Risk and Volatility Modeling
Type
article
Field-Weighted Citation Impact
3.77
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article

Exploring Calendar Anomalies and Volatility Dynamics in Cryptocurrencies: A Comparative Analysis of Day-of-the-Week Effects before and during the COVID-19 Pandemic

Alejandro Fonseca Ramírez, Jong‐Min Kim, Sonal Sahu
7 citations
Journal of risk and financial management
Financial Risk and Volatility Modeling
3.77
article

Exploring Calendar Anomalies and Volatility Dynamics in Cryptocurrencies: A Comparative Analysis of Day-of-the-Week Effects before and during the COVID-19 Pandemic

Alejandro Fonseca Ramírez, Jong‐Min Kim, Sonal Sahu
article en
7 citations

Abstract

This study investigates calendar anomalies and their impact on returns and volatility patterns in the cryptocurrency market, focusing on day-of-the-week effects before and during the COVID-19 pandemic. Using advanced statistical models from the GARCH family, we analyze the returns of Binance USD, Bitcoin, Binance Coin, Cardano, Dogecoin, Ethereum, Solana, Tether, USD Coin, and Ripple. Our findings reveal significant shifts in volatility dynamics and day-of-the-week effects on returns, challenging the notion of market efficiency. Notably, Bitcoin and Solana began exhibiting day-of-the-week effects during the pandemic, whereas Cardano and Dogecoin did not. During the pandemic, Binance USD, Ethereum, Tether, USD Coin, and Ripple showed multiple days with significant day-of-the-week effects. Notably, positive returns were generally observed on Sundays, whereas a shift to negative returns on Mondays was evident during the COVID-19 period. These patterns suggest that exploitable anomalies persist despite the market’s continuous operation and increasing maturity. The presence of a long-term memory in volatility highlights the need for robust trading strategies. Our research provides valuable insights for investors, traders, regulators, and policymakers, aiding in the development of effective trading strategies, risk management practices, and regulatory policies in the evolving cryptocurrency market.

Journal of risk and financial managementVol. 17(8)
University of Minnesota Morris (US), Tecnológico de Monterrey (MX)
Good health and well-being
Openalex Percentile: Top 6%
Financial Risk and Volatility Modeling
3.77
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Exploring Calendar Anomalies and Volatility Dynamics in Cryptocurrencies: A Comparative Analysis of Day-of-the-Week Effects before and during the COVID-19 Pandemic — Alejandro Fonseca Ramírez, Jong‐Min Kim, et al. · Journal of risk and financial management (2024) | TGRS Research Map | TGRS