An Investigation of the Presence of Anomalies in Digital Asset Market
The Case of Bitcoin
Abstract
This paper examines the cryptocurrency bitcoin to determine if there is evidence of the weekday effects, such as the Monday effect, during the period between January 2, 2011 and September 10, 2019. The study shows that Bitcoin exhibits a Monday effect at the 10% level of significance and a Tuesday and Sunday effect at the 5% significance level. The S&P500 stock index also showed a Monday effect but did not exhibit a Tuesday or Sunday effect. The study also examined if there was a Month of the Year effect and found that Bitcoin exhibited a May and November effect at the 10% significance level.
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Copyright (c) 2020 Peter J Bush, John Stephens, Seyed Mehdian
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