ScienceDirect Publication: Finance Research Letters
Tue, 19 Nov 2019 12:01:34 GMT language
Publication date: December 2019
Source: Finance Research Letters, Volume 31
Author(s): Lars Kaiser
Considering a relatively large cross-section of ten cryptocurrencies, we test for the existence of well-known equity seasonality patterns with respect to cryptocurrency returns, volatility, trading volume and a spread estimator. Whilst we do not observe consistent and robust calendar effects in cryptocurrency returns and consequently cannot reject the weak-form market efficiency, we do observe robust patterns in trading activity. As such, trading volume, volatility and spreads are on average lower in January, on weekends and during the summer months. Besides, we also report a strong impact on the direction and significance of monthly seasonality patterns due to the stark market sell-off in January 2018, which has to be accounted for.