Produção Nacional
Bitcoin Returns and the Weekday Effect
2019; RELX Group (Netherlands); Linguagem: Inglês
10.2139/ssrn.3435176
ISSN1556-5068
AutoresRoberto Frota Décourt, Usman W. Chohan, Maria Letizia Perugini,
Tópico(s)Financial Literacy, Pension, Retirement Analysis
ResumoThis paper examines whether the well-known Monday Effect found in stock andTreasury Bills markets also occurs in the Bitcoin market, which differs markedlyfrom other markets due to its continuous trading. The findings of the paper suggestthat the Bitcoin market is not efficient and provides the opportunity to generatestrategies with high abnormal returns. The paper uses a Student’s t-test for astatistically significant difference in the average daily returns of weekdays and find-ing that Tuesday and Wednesday has higher returns as compared with other days.This is corroborated by a regression analysis indicating that there are above averagereturns on Tuesday and Wednesday.
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