ScienceDirect Publication: Finance Research Letters
Tue, 19 Nov 2019 12:01:39 GMT language
Publication date: December 2019
Source: Finance Research Letters, Volume 31
Author(s): Guglielmo Maria Caporale, Alex Plastun
This paper examines the day of the week effect in the cryptocurrency market using a variety of statistical techniques (average analysis, Student's t-test, ANOVA, the Kruskal–Wallis test, and regression analysis with dummy variables) as well as a trading simulation approach. Most crypto currencies (LiteCoin, Ripple, Dash) are found not to exhibit this anomaly. The only exception is BitCoin, for which returns on Mondays are significantly higher than those on the other days of the week. In this case the trading simulation analysis shows that there exist exploitable profit opportunities; however, most of these results are not significantly different from the random ones and therefore cannot be seen as conclusive evidence against market efficiency.