Bitcoin’s Weekend Effect: Returns, Volatility, and Volume (2014–2024)

Using daily BTC-USD data from September 19, 2014 to January 21, 2024, this paper re-examines whether weekends differ from weekdays for Bitcoin along three margins: average returns, close-to-close volatility, and trading activity. We implement Welch mean comparisons and HAC-robust OLS with month fixed effects (bandwidths 5, 7, and 14). In the full sample and across subsamples (2016–2019; 2020–2023; early 2024), we find no detectable weekend–weekday gap in average returns, while volatility and trading activity are lower on weekends. The patterns are robust to using squared returns as a volatility proxy. The joint evidence is consistent with liquidity and attention mechanisms—quieter weekends rather than compensating return premia. Replication files reproduce all tables and figures.