A new perspective of the day-of-the-week effect on Bitcoin returns: evidence from an event study hourly approach

Authors

DOI:

https://doi.org/10.24136/oc.2022.022

Keywords:

Bitcoin, event study, day-of-the-week effect, hourly data

Abstract

Research background: A current strand of the financial literature is focusing on detecting inefficiencies, such as the day-of-the-week effect, in the cryptocurrency market. However, these studies are not considering that there are no daily closes in this market, and it is possible to trade cryptocurrencies on a continuous basis. This fact may have led to biases in previous empirical results.

Purpose of the article: We propose to analyse the day-of-the-week effect on the Bitcoin from an alternative perspective where each hourly data in a day is considered an event. Focusing on that objective, we employ hourly closing prices for Bitcoin which are taken from the Kraken exchange, one of the world leading exchanges and trading platforms in the cryptocurrency markets, for the period spanning from January 2016 to December 2021.

Methods: Contrary to the previous empirical evidence, we do not calculate daily returns, but rather the first stage of our proposed approach is devoted to analysing the hourly mean returns for each of the 24 hours of the day for each day of the week. We look for statistically significant hourly mean returns that could advance the importance of the hourly differentiation in the Bitcoin market. In a second stage, we calculate different post-event cumulative returns which are defined as the change in log prices over a time interval. Finally, we propose different investment strategies simply based on the significant hourly mean returns we obtain and we evaluate their performance in terms of the Sharpe ratio.

Findings & value added: We contribute to the debate about the degree of Bitcoin?s market efficiency by providing an alternative methodology based on an event study hourly approach. Furthermore, we provide evidence that by investing in different post-event hourly windows it is possible to outperform the classic buy-and-hold strategy.

Downloads

Download data is not yet available.

References

Aharon, D. Y., & Qadan, M. (2019). Bitcoin and the day-of-the-week effect. Finance Research Letters, 31, 415?424. doi: 10.1016/j.frl.2018.12.004.

DOI: https://doi.org/10.1016/j.frl.2018.12.004
View in Google Scholar

Atkins, A. B., & Dyl, E. (1990). Price reversals, bid-ask spreads, and market effi-ciency. Journal of Financial and Quantitative Analysis, 25, 535?547. doi: 10.2307/2331015.

DOI: https://doi.org/10.2307/2331015
View in Google Scholar

Ball, R., & Brown, P. (1968). An empirical evaluation of accounting numbers. Journal of Accounting Research, 6(2), 159?178. doi: 10.2307/2490232.

DOI: https://doi.org/10.2307/2490232
View in Google Scholar

Bariviera, A. F. (2017). The inefficiency of Bitcoin revisited: a dynamic approach. Economics Letters, 161, 1?4. doi: 10.1016/j.econlet.2017.09.013.

DOI: https://doi.org/10.1016/j.econlet.2017.09.013
View in Google Scholar

Bariviera, A. F., & Merediz?Sol?, I. (2021). Where do we stand in cryptocurrencies economic research? A survey based on hybrid analysis. Journal of Economic Surveys, 35(2), 377?407. doi: 10.1111/joes.12412.

DOI: https://doi.org/10.1111/joes.12412
View in Google Scholar

Benou, G., & Richie, N. (2003). The reversal of large stock price declines: the case of large firms. Journal of Economics and Finance, 27, 19?38. doi: 10.1007/BF 02751588.

DOI: https://doi.org/10.1007/BF02751588
View in Google Scholar

Bogards, O., & Czudaj, R. (2020). The prevalence of price overreactions in the cryptocurrency market. Journal of International Financial Markets, Institu-tions and Money, 65, 101194. doi: 10.1016/j.intfin.2020.101194.

DOI: https://doi.org/10.1016/j.intfin.2020.101194
View in Google Scholar

Bremer, M. A., & Sweeney, R. J. (1991). The reversal of large stock-price decreas-es. Journal of Finance, 46, 747?754. doi: 10.1111/j.1540-6261.1991.tb02684.x.

DOI: https://doi.org/10.1111/j.1540-6261.1991.tb02684.x
View in Google Scholar

Brown, S. J., & Warner, J. B. (1985). Using daily stock returns: the case of event studies of event. Journal of Financial Economics, 14(1), 3?31. doi: 10.1016/03 04-405X(85)90042-X.

DOI: https://doi.org/10.1016/0304-405X(85)90042-X
View in Google Scholar

Cai, J., Li, Y., & Qi, Y. (2006). The day-of-the-week effect: new evidence from the Chinese stock market. Chinese Economy, 39(2), 71?88. doi: 10.2753/CES1097-1475390206.

DOI: https://doi.org/10.2753/CES1097-1475390206
View in Google Scholar

Caporale, G. M., Gilalana, L. A., Plastun, A. & Makarenko, I. (2016). Intraday anomalies and market efficiency: a trading robot analysis. Computational Economics, 47(2), 275?295. doi: 10.1007/s10614-015-9484-9.

DOI: https://doi.org/10.1007/s10614-015-9484-9
View in Google Scholar

Caporale, G. M., & Plastun, A. (2019). Price overreactions in the cryptocurrency market. Journal of Economic Studies. 46, 1137?1155. doi: 10.1108/JES-09-201 8-0310.

DOI: https://doi.org/10.1108/JES-09-2018-0310
View in Google Scholar

Caporale, G. M., & Plastun, A. (2020). Momentum effects in the cryptocurrency market after one-day abnormal returns. Financial Markets and Portfolio Management, 34, 251?266. doi: 10.1007/s11408-020-00357-1.

DOI: https://doi.org/10.1007/s11408-020-00357-1
View in Google Scholar

Cederburg, S., O?Doherty, M. S., Wang, F., & Yan, Z. S. (2020). On the perfor-mance of volatility-managed portfolios. Journal of financial Economics, 138(1), 95?117. doi: 10.1016/j.jfineco.2020.04.015.

DOI: https://doi.org/10.1016/j.jfineco.2020.04.015
View in Google Scholar

Chiah, M., & Zhong, A. (2021). Tuesday blues and the day-of-the-week effect in stock returns. Journal of Banking and Finance, 133, 106243. doi: 10.1016/j.j bankfin.2021.106243.

DOI: https://doi.org/10.1016/j.jbankfin.2021.106243
View in Google Scholar

Choi, D., & Hui, S. K. (2014). The role of surprise: understanding overreaction and underreaction to unanticipated events using in-play soccer betting market. Journal of Economic Behavior and Organization, 107(B), 614?629. doi: 10.1016/j.jebo.2014.02.009.

DOI: https://doi.org/10.1016/j.jebo.2014.02.009
View in Google Scholar

Choudhry, T. (2001). Month of the year effect and January effect in pre-WWI stock returns: evidence from a non-linear GARCH model. International Journal of Finance and Economics, 6(1), 1?11. doi: 10.1002/ijfe.142.

DOI: https://doi.org/10.1002/ijfe.142
View in Google Scholar

Corbet, S., Lucey, B., Urquhart, A., & Yarovaya, L. (2019). Cryptocurrencies as a financial asset: a systematic analysis. International Review of Financial Analysis, 62, 182?199. doi: 10.1016/j.irfa.2018.09.003.

DOI: https://doi.org/10.1016/j.irfa.2018.09.003
View in Google Scholar

Cox, D. R., & Peterson, D. R. (1994). Stock returns following large one day de-clines. evidence on short-term reversals and longer term performance. Journal of Finance, 49, 255?267. doi: 10.1111/j.1540-6261.1994.tb04428.x.

DOI: https://doi.org/10.1111/j.1540-6261.1994.tb04428.x
View in Google Scholar

Cross, F. (1973). The behavior of stock prices on fridays and mondays. Financial Analysts Journal, 29(6), 67?69. doi: 10.2469/faj.v29.n6.67.

DOI: https://doi.org/10.2469/faj.v29.n6.67
View in Google Scholar

Daskalaki, C., & Skiadopoulos, G. (2011). Should investors include commodities in their portfolios after all? New evidence. Journal of Banking and Finance, 35(10), 2606?2626. doi: 10.1016/j.jbankfin.2011.02.022.

DOI: https://doi.org/10.1016/j.jbankfin.2011.02.022
View in Google Scholar

De Bondt, W. F. M., & Thaler, R. H. (1985). Does the stock market overreact? Journal of Finance, 40, 793?805. doi: 10.1111/j.1540-6261.1985.tb05004.x.

DOI: https://doi.org/10.1111/j.1540-6261.1985.tb05004.x
View in Google Scholar

De Bondt, W. F. M., & Thaler, R. H. (1987). Further evidence on investor overreac-tion and stock market seasonality. Journal of Finance, 42(3), 557?581. doi: 10.1111/j.1540-6261.1987.tb04569.x.

DOI: https://doi.org/10.1111/j.1540-6261.1987.tb04569.x
View in Google Scholar

DeMiguel, V., Garlappi, L., & Uppal, R. (2009). Optimal versus naive diversifica-tion: how inefficient is the 1/N portfolio strategy? Review of Financial Studies, 22(5), 1915?1953. doi: 10.1093/rfs/hhm075.

DOI: https://doi.org/10.1093/rfs/hhm075
View in Google Scholar

Dissanaike, G. (1994). On the computation of returns in tests of the stock market overreaction hypothesis. Journal of Banking and Finance, 18(6), 1083?1094. doi: 10.1016/0378-4266(94)00061-1.

DOI: https://doi.org/10.1016/0378-4266(94)00061-1
View in Google Scholar

Dodd, P., & Warner, J. (1983). On corporate governance: a study of proxy con-tests. Journal of Financial Economics, 11(1-4), 401?438. doi: 10.1016/0304-405X(83)90018-1.

DOI: https://doi.org/10.1016/0304-405X(83)90018-1
View in Google Scholar

Dorfleitner, G., & Lung, C. (2018). Cryptocurrencies from the perspective of euro investors: a re-examination of diversification benefits and a new day-of-the-week effect. Journal of Asset Management, 19, 472?494. doi: 10.1057/s41260-018-0093-8.

DOI: https://doi.org/10.1057/s41260-018-0093-8
View in Google Scholar

Doyle, J. R., & Chen, C. H. (2009). The wandering weekday effect in major stock major stock markets. Journal of Banking and Finance, 33(8), 1388?1399. doi: 10.1016/j.jbankfin.2009.02.002.

DOI: https://doi.org/10.1016/j.jbankfin.2009.02.002
View in Google Scholar

Fama, E. (1965). The behavior of stock market prices. Journal of Business, 36(1), 34?105.

DOI: https://doi.org/10.1086/294743
View in Google Scholar

Fama, E., Fisher, L., Jensen, M., & Roll, R. (1969). The adjustment of stock prices to new information. International Economic Review, 10(1), 1?21. doi: 10.2307 /2525569.

DOI: https://doi.org/10.2307/2525569
View in Google Scholar

Fama, E. F. (1970). Efficient capital markets: a review of theory and empirical work. Journal of Finance 25(2), 383?417. doi: 2325486.

DOI: https://doi.org/10.1111/j.1540-6261.1970.tb00518.x
View in Google Scholar

Fung, A. K., Mok, D. M. Y., & Lam, K. (2000). Intraday price reversals for index futures in the US and Hong Kong. Journal of Banking and Finance, 24, 1179?1201. doi: 10.1016/S0378-4266(99)00072-2.

DOI: https://doi.org/10.1016/S0378-4266(99)00072-2
View in Google Scholar

García, L., & Luger, R. (2011). Dynamic correlations, estimation risk, and portfolio management during the financial crisis. CEMFI Working Paper, 1103. Re-trieved from https://www.cemfi.es/ftp/wp/1103.pdf.
View in Google Scholar

Gasbarro, D., Wong, W., & Zumwalt, J. (2007). Stochastic dominance analysis of iShares. European Journal of Finance, 13(1), 89?101. doi: 10.1080/1351847 0601025243.

DOI: https://doi.org/10.1080/13518470601025243
View in Google Scholar

Grant, J. L., Wolf, A., & Yu, S. (2005). Intraday price reversals in the U.S. stock index futures market: a 15-Year Study. Journal of Banking and Finance, 29, 1311?1327. doi: 10.1016/j.jbankfin.2004.04.006.

DOI: https://doi.org/10.1016/j.jbankfin.2004.04.006
View in Google Scholar

Gultekin, M. N., & Gultekin, N. B. (1983). Stock market seasonality: international evidence. Journal of Financial Economics, 12(4), 469?481. doi: 10.1016/0304-405X(83)90044-2.

DOI: https://doi.org/10.1016/0304-405X(83)90044-2
View in Google Scholar

Gunaratne, P. S. M., & Yonesawa, Y. (1997). Return reversals in the Tokyo Stock Exchange: a test of stock market overreaction. Japan and the World Economy, 9(3), 363?384. doi: 10.1016/S0922-1425(96)00256-3.

DOI: https://doi.org/10.1016/S0922-1425(96)00256-3
View in Google Scholar

Ising, J., Schiereck, D., Simpson, M., & Thomas, T. (2006). Stock returns following large 1-month declines and jumps: evidence of overoptimism in the German market. Quarterly Review of Economics and Finance, 46, 598?619. doi: 10.1016/j.qref.2006.02.005.

DOI: https://doi.org/10.1016/j.qref.2006.02.005
View in Google Scholar

Jalal, R. N., Alon, I., & Paltrinieri, A. (2022). A bibliometric review of cryptocurren-cies as a financial asset. Technology Analysis and Strategic Management, Ad-vance online pupblication. doi: 10.1080/09537325.2021.1939001.

DOI: https://doi.org/10.1080/09537325.2021.1939001
View in Google Scholar

Jegadeesh, N., & Titman, S. (1993). Returns to buying winners and selling losers: implications for stock market efficiency. Journal of Finance, 48, 65?92. doi: 10.1111/j.1540-6261.1993.tb04702.x.

DOI: https://doi.org/10.1111/j.1540-6261.1993.tb04702.x
View in Google Scholar

Jobson, J., & Korkie, B.M. (1981). Performance hypothesis testing with the Sharpe and Treynor measures. Journal of Finance, 36(4), 889?908. doi: 10.2307/2327 554.

DOI: https://doi.org/10.1111/j.1540-6261.1981.tb04891.x
View in Google Scholar

Kaiser, L. (2019). Seasonality in cryptocurrencies. Finance Research Letters, 31, 232?238. doi: 10.1016/j.frl.2018.11.007.

DOI: https://doi.org/10.1016/j.frl.2018.11.007
View in Google Scholar

Kosc, K., Sakowski, P., & Slepaczuk, R. (2019). Momentum and contrarian effects on the cryptocurrency market. Physica A: Statistical Mechanics and its Applications, 523(1), 691?701. doi: 10.1016/j.physa.2019.02.057.

DOI: https://doi.org/10.1016/j.physa.2019.02.057
View in Google Scholar

Kurihara, Y., & Fukushima, A. (2017). The market efficiency of Bitcoin: a weekly anomaly perspective. Journal of Applied Finance and Banking, 7(3), 57?64.
View in Google Scholar

Kyriazis, N. A. (2019). A survey on efficiency and profitable trading opportunities in cryptocurrency markets. Journal of Risk and Financial Management, 12(2), 67. doi: 10.3390/jrfm12020067.

DOI: https://doi.org/10.3390/jrfm12020067
View in Google Scholar

Lakonishok, J., & Levi, M. (1982). Weekend effects on stock returns: a note. Journal of Finance, 37, 883?889. doi: 10.2307/2327716.

DOI: https://doi.org/10.1111/j.1540-6261.1982.tb02231.x
View in Google Scholar

Lakonishok, J., & Maberly, E. (1990). The weekend effect: trading patterns of individual and institutional investors. Journal of Finance, 45, 231?243. doi: 10.2307/2328818.

DOI: https://doi.org/10.1111/j.1540-6261.1990.tb05089.x
View in Google Scholar

Lakonishok, J., & Smidt, S. (1988). Are seasonal anomalies real? A ninety-year perspective. Review of Financial Studies, 1(4), 403?425. doi: 10.1093/rfs/1.4.4 03.

DOI: https://doi.org/10.1093/rfs/1.4.403
View in Google Scholar

Lalwani, V., Sharma, U., & Chakraborty, M. (2019). Investor reaction to extreme price shocks in markets: a cross country examination. IIMB Management Review, 31(3), 258?267. doi: 10.1016/j.iimb.2019.03.004.

DOI: https://doi.org/10.1016/j.iimb.2019.03.004
View in Google Scholar

Lasfer, M. A., Melnik, A., & Thomas, D. C. (2003). Short-term reaction of stock markets in stressful circumstances. Journal of Banking and Finance 27, 1959?1977. doi: 10.1016/S0378-4266(02)00313-8.

DOI: https://doi.org/10.1016/S0378-4266(02)00313-8
View in Google Scholar

López-Martín, C., Benito Muela, S., & Arguedas, R. (2021). Efficiency in crypto-currency markets: new evidence. Eurasian Economic Review, 11, 403?431. doi: 10.1007/s40822-021-00182-5.

DOI: https://doi.org/10.1007/s40822-021-00182-5
View in Google Scholar

Ma, D. L., & Tanizaki, H. (2019). The day-of-the-week effect on Bitcoin return and volatility. Research in International Business and Finance, 49, 127?136. doi: 10.1016/j.ribaf.2019.02.003.

DOI: https://doi.org/10.1016/j.ribaf.2019.02.003
View in Google Scholar

MacKinlay, G. (1997). Event studies in economics and finance. Journal of Economic Literature, 35(1), 13?39.
View in Google Scholar

Memmel, C. (2003). Performance hypothesis testing with the Sharpe ratio. Fi-nance Letters, 1, 21?23.
View in Google Scholar

Merediz-Sol?, I., & Bariviera, A.F. (2019). A bibliometric analysis of bitcoin scien-tific production. Research in International Business and Finance, 50, 294?305. doi: 10.1016/j.ribaf.2019.06.008.

DOI: https://doi.org/10.1016/j.ribaf.2019.06.008
View in Google Scholar

Miralles-Marcelo, J. L., Miralles-Quirós, J. L., & Miralles-Quirós, M. M. (2010). Intraday linkages between the Spanish and the US stock markets: evidence of an overreaction effect. Applied Economics, 42(2), 223?235. doi: 10.1080/0003 6840701579192.

DOI: https://doi.org/10.1080/00036840701579192
View in Google Scholar

Miralles-Marcelo, J. L., Miralles-Quirós, J. L., & Miralles-Quirós, M. M. (2014). Intraday stock market behavior after shocks: the importance of bull and bear markets in Spain. Journal of Behavioral Finance, 15(2), 144?159. doi: 10.108 0/15427560.2014.911743.

DOI: https://doi.org/10.1080/15427560.2014.911743
View in Google Scholar

Miwa, K. (2019). Trading hours extension and intraday price behavior. International Review of Economics and Finance, 64, 572?585. doi: 10.1016/j.ir ef.2019.07.007.

DOI: https://doi.org/10.1016/j.iref.2019.07.007
View in Google Scholar

Nadarajah, S., & Chu, J. (2017). On the inefficiency of bitcoin. Economic Letters, 150, 6?9. doi: 10.1016/j.econlet.2016.10.033.

DOI: https://doi.org/10.1016/j.econlet.2016.10.033
View in Google Scholar

Panagiotis, T., Renatas, K., & Bayasgalan, T. (2019). Momentum trading in cryp-tocurrencies: short-term returns and diversification benefits. Economics Letters, 191, 108728. doi: 10.1016/j.econlet.2019.108728.
View in Google Scholar

Phillip, A., Chan, J. S. K., & Peiris, S. (2018). A new look at cryptocurrencies. Eco-nomics Letters, 163, 6?9. doi: 10.1016/j.econlet.2017.11.020.

DOI: https://doi.org/10.1016/j.econlet.2017.11.020
View in Google Scholar

Qadan, M., Aharon, D. Y., & Eichel, R. (2019). Seasonal patterns and calendar anomalies in the commodity market for natural resources. Resources Policy, 63, 101435. doi: 10.1016/j.resourpol.2019.101435.

DOI: https://doi.org/10.1016/j.resourpol.2019.101435
View in Google Scholar

Qadan, M., & Idilbi-Bayaa, Y. (2021). The day-of-the-week effect on the volatility of commodities. Resources Policy, 71, 101980. doi: 10.1016/j.resourpol.2020 .101980.

DOI: https://doi.org/10.1016/j.resourpol.2020.101980
View in Google Scholar

Qadan, M., Aharon, D. Y., & Eichel, R. (2022). Seasonal and calendar effects and the price efficiency of cryptocurrencies. Finance Research Letters, 46(A), 102354. doi: 10.1016/j.frl.2021.102354.

DOI: https://doi.org/10.1016/j.frl.2021.102354
View in Google Scholar

Qing, C., Xinyuan, L., & Xiaowu, Z. (2019). Cryptocurrency momentum effect: DFA and MF-DFA analysis. Physica A: Statistical Mechanics and its Applications, 526, 120847. doi: 10.1016/j.physa.2019.04.083.

DOI: https://doi.org/10.1016/j.physa.2019.04.083
View in Google Scholar

Roberts, H., (1967). Statistical versus clinical prediction of the stock market. Un-published manuscript, CRSP, Chicago University of Chicago.
View in Google Scholar

Rozeff, M. S., & Kinney, W. R. (1976). Capital market seasonality: the case of stock returns. Journal of Financial Economics, 3(4), 379?402. doi: 10.1016/0 304-405X(76)90028-3.

DOI: https://doi.org/10.1016/0304-405X(76)90028-3
View in Google Scholar

Savor, P. G. (2012). Stocks returns after major price shocks: the impact of infor-mation. Journal of Financial Economics, 106(3), 645?659. doi: 10.1016/j.jfinec o.2012.06.011.

DOI: https://doi.org/10.1016/j.jfineco.2012.06.011
View in Google Scholar

Samuelson, P. (1965). Proof that properly anticipated prices fluctuate randomly. Industrial Management Review, 6(2), 41?49.
View in Google Scholar

Sharpe, W. F. (1966). Mutual fund performance. Journal of Business, 39(1), 119?138. doi: 10.1086/294846.

DOI: https://doi.org/10.1086/294846
View in Google Scholar

Shen, D., Urquhart, A., & Wang, P. (2022). Bitcoin intraday time series momen-tum. Financial Review, 57, 319?344. doi: 10.1111/fire.12290.

DOI: https://doi.org/10.1111/fire.12290
View in Google Scholar

Sias, R. W., & Starks, L. T. (1995). The day-of-the-week anomaly: the role of insti-tutional investors. Financial Analysts Journal, 51(3), 58?67. doi: 10.2469/f aj.v51.n3.1906.

DOI: https://doi.org/10.2469/faj.v51.n3.1906
View in Google Scholar

Sun, L., Najand, M., & Shen, J. (2016). Stock return predictability and investor sentiment: a high-frequency perspective. Journal of Banking & Finance, 73, 147?164. doi: 10.1016/j.jbankfin.2016.09.010.

DOI: https://doi.org/10.1016/j.jbankfin.2016.09.010
View in Google Scholar

Tzouvanas, P., Kizys, R., & Tsend-Ayush, B. (2020). Momentum trading in cryp-tocurrencies: short-term returns and diversification benefits. Economics Letters, 191, 108728. doi: 10.1016/j.econlet.2019.108728.

DOI: https://doi.org/10.1016/j.econlet.2019.108728
View in Google Scholar

Urquhart, A. (2016). The inefficiency of Bitcoin. Economics Letters, 148, 80?82. doi: 10.1016/j.econlet.2016.09.019.

DOI: https://doi.org/10.1016/j.econlet.2016.09.019
View in Google Scholar

Vidal-Tomás, D., & Ibá?ez, A. (2018). Semi-strong efficiency of Bitcoin. Finance Research Letters, 27, 259?265. doi: 10.1016/j.frl.2018.03.013.

DOI: https://doi.org/10.1016/j.frl.2018.03.013
View in Google Scholar

Vidal-Tomás, D., Ibá?ez, A. M., & Farinós, J. E. (2019). Weak efficiency of the cryptocurrency market: a market portfolio approach. Applied Economics Letters, 26(19), 1627?1633. doi: 10.1080/13504851.2019.1591583.

DOI: https://doi.org/10.1080/13504851.2019.1591583
View in Google Scholar

Yukun, L., & Tsyvinski, A. (2021). Risks and returns of cryptocurrency. Review of Financial Studies, 34(6), 2689?2727. doi: 10.1093/rfs/hhaa113.

DOI: https://doi.org/10.1093/rfs/hhaa113
View in Google Scholar

Zaremba, A., Bilgin, M. H., Long, H., Mercik, A., & Szczygielski, J. J. (2021). Up or down? Short-term reversal, momentum, and liquidity effects in cryptocurrency markets. International Review of Financial Analysis, 78, 101908. doi: 10.1016/j.irfa.2021.101908.

DOI: https://doi.org/10.1016/j.irfa.2021.101908
View in Google Scholar

Zhang, J., Lai, Y., & Lin, J. (2017). The day-of-the-week effects of stock markets in different countries. Finance Research Letters, 20, 47?62. doi: 10.1016/j.frl. 2016.09.006.

DOI: https://doi.org/10.1016/j.frl.2016.09.006
View in Google Scholar

Downloads

Published

2022-09-25

How to Cite

Miralles-Quirós, J. L. ., & Miralles-Quirós, M. M. (2022). A new perspective of the day-of-the-week effect on Bitcoin returns: evidence from an event study hourly approach. Oeconomia Copernicana, 13(3), 745–782. https://doi.org/10.24136/oc.2022.022

Issue

Section

Articles

Similar Articles

1 2 3 4 5 6 7 8 9 10 > >> 

You may also start an advanced similarity search for this article.