Calendar effects in Bitcoin returns and volatility

Kinateder, Harald; Papavassiliou, V.

doi:10.1016/j.frl.2019.101420

Cited by 61 publications

(53 citation statements)

References 14 publications

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“…Moreover, contrary to other studies (Ma and Tanizaki, 2019;Kinateder and Papavassiliou, 2019), we show strong evidence of Bitcoin's leverage effect, as indicated by the statistically significant θ parameter. This is a novel result and may reflect the high uncertainty surrounding this new market as opposed to more established financial markets, which makes investors more sensitive to negative news than to positive ones.…”

Section: Resultscontrasting

confidence: 99%

“…This result is in line with Caporale and Plastun (2019), who also find a strong Monday effect for Bitcoin, but not for other cryptocurrencies. In contrast, Kinateder and Papavassiliou (2019) show a negative Wednesday effect using a different sample period.…”

Section: Datamentioning

confidence: 74%

“…Ma and Tanizaki (2019) find that the weekly seasonality varies with the sample period and that Mondays and Thursdays are generally associated with higher volatilities. Kinateder and Papavassiliou (2019) shows evidence of a Wednesday effect in mean returns. Finally, Aharon and Qadan (2019) reports day-of-the-week effect on Bitcoin at both return and variance.…”

Section: Day-of-the-week Effectmentioning

confidence: 93%

See 2 more Smart Citations

Weekly Dynamic Conditional Correlations Among Cryptocurrencies and Traditional Assets

2020

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This paper adopts a versatile multivariate conditional correlation model to estimate daily seasonality in the returns, the volatility, and the correlations between stocks, bonds, gold and Bitcoin. Besides the well known seasonality in stocks and bonds, the day-of-the-week effect is also present in Bitcoin. Mondays are associated with higher Bitcoin returns, while Wednesdays with higher Bitcoin volatility. As opposed to previous literature, our results indicate strong evidence of Bitcoin's leverage effect. Moreover, we show that daily correlations between Bitcoin and traditional assets are higher at the beginning of the week, while the volatility of these correlations decreases over the week. Our results offer interesting insights in terms of investment and portfolio diversification, that can be applied to the analysis of systematic risk asset allocation and hedging.

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Section: Resultscontrasting

confidence: 99%

Section: Datamentioning

confidence: 74%

Section: Day-of-the-week Effectmentioning

confidence: 93%

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Weekly Dynamic Conditional Correlations Among Cryptocurrencies and Traditional Assets

2020

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“…As shown in Table 10, the interactive terms between investor attention and control variables generate significantly effects on Bitcoin asset. Specifically, for the Bitcoin return, the interactive terms and the investor attention are both significantly positive at a same lag of 1 or (11) and (12). The table contains the estimation results of lagged Bitcoin return (R t−i , i = 1,2,3,4), lagged investor attention (Att t−i , i = 1,2,3,4), lagged control variable (Control t−i , i = 1,2,3,4), and the interactive term between lagged investor attention and control variable (Att 2,3,4).…”

Section: Plos Onementioning

confidence: 94%

“…Return, as well as volatility, play important roles in numerous financial aspects, e.g., asset pricing, investment portfolio allocation and risk management, etc., and are the two most important characteristics of one certain asset. However, there are still many puzzles needed to be solved urgently in explaining and forecasting the Bitcoin market, which attracted numerous researchers in this field [ 3 , 6 , 11 ]. Investor attention, which may be represented by extreme return, abnormal trading volume, advertising expenditure, and media coverage [ 12 – 14 ], is a key resource constrained by limited processing capacity and time pressure, besides, it is a scarce resource for every asset, as investors can only concentrate on limited set information in reality since their time and effort constraint [ 13 , 15 , 16 ].…”

Section: Introductionmentioning

confidence: 99%

Investor attention and cryptocurrency: Evidence from the Bitcoin market

Zhu

Zhang

et al. 2021

PLoS ONE

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This paper adds to the growing literature of cryptocurrency and behavioral finance. Specifically, we investigate the relationships between the novel investor attention and financial characteristics of Bitcoin, i.e., return and realized volatility, which are the two most important characteristics of one certain asset. Our empirical results show supports in the behavior finance area and argue that investor attention is the granger cause to changes in Bitcoin market both in return and realized volatility. Moreover, we make in-depth investigations by exploring the linear and non-linear connections of investor attention on Bitcoin. The results indeed demonstrate that investor attention shows sophisticated impacts on return and realized volatility of Bitcoin. Furthermore, we conduct one basic and several long horizons out-of-sample forecasts to explore the predictive ability of investor attention. The results show that compared with the traditional historical average benchmark model in forecasting technologies, investor attention improves prediction accuracy in Bitcoin return. Finally, we build economic portfolios based on investor attention and argue that investor attention can further generate significant economic values. To sum up, investor attention is a non-negligible pricing factor for Bitcoin asset.

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The crypto world trades at tea time: intraday evidence from centralized exchanges across the globe

Brauneis,

Mestel,

Theissen

2024

Rev Quant Finan Acc

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It is a stylized fact that trading activity, volatility and liquidity in equity and other financial markets follow specific intraday patterns. These patterns are to a large extent determined by institutional features such as exchange trading hours or batch settlement procedures. We analyze the intraday patterns that emerge when these institutional constraints are absent. We compile a large sample of 1940 currency pairs traded on 38 cryptocurrency exchanges located on five continents. These exchanges operate 24 h a day, seven days a week, and settle trades instantly. We find that there are pronounced time-of-day patterns in trading activity, volatility and liquidity. These patterns are remarkably similar across exchanges, time zones and cryptocurrency pairs. Specifically, trading activity, volatility and illiquidity all peak between 16:00 and 17:00 Coordinated Universal Time (UTC), i.e. during U.K. tea time. We find that characteristics of the exchanges (such as their locations) and of the traded currency pairs (e.g. whether two pairs share a common currency) explain some, but not all of the commonality in intraday patterns.

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Calendar effects in Bitcoin returns and volatility

Cited by 61 publications

References 14 publications

Weekly Dynamic Conditional Correlations Among Cryptocurrencies and Traditional Assets

Weekly Dynamic Conditional Correlations Among Cryptocurrencies and Traditional Assets

Investor attention and cryptocurrency: Evidence from the Bitcoin market

The crypto world trades at tea time: intraday evidence from centralized exchanges across the globe

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