Bitcoin Time-of-Day, Day-of-Week and Month-of-Year Effects in Returns and Trading Volume

21 Pages Posted: 19 Dec 2017 Last revised: 21 Dec 2017

See all articles by Dirk G. Baur

Dirk G. Baur

University of Western Australia - Business School; Financial Research Network (FIRN)

Daniel Cahill

University of Western Australia, Buiness School

Keith Godfrey

The University of Western Australia - Department of Accounting and Finance

Zhangxin (Frank) Liu

The University of Western Australia Business School

Date Written: December 15, 2017

Abstract

There is a large literature that reports time-specific anomalies in equity markets such as the Monday effect, the January effect and the Halloween effect. This study is the first to report intra-day time-of-day, day-of-week, and month-of-year effects for Bitcoin returns and trading volume. Using more than 15 million price and trading volume observations from seven global Bitcoin exchanges reveal time-varying effects but no consistent or persistent patterns across the sample period. The results suggest that Bitcoin markets are efficient.

Keywords: Bitcoin; blockchain; day-of-week effects; January effect; Halloween effect; arbitrage; market efficiency

JEL Classification: G12; G14

Suggested Citation

Baur, Dirk G. and Cahill, Daniel and Godfrey, Keith and Liu, Zhangxin (Frank), Bitcoin Time-of-Day, Day-of-Week and Month-of-Year Effects in Returns and Trading Volume (December 15, 2017). Available at SSRN: https://ssrn.com/abstract=3088472 or http://dx.doi.org/10.2139/ssrn.3088472

Dirk G. Baur (Contact Author)

University of Western Australia - Business School ( email )

School of Business
35 Stirling Highway
Crawley, Western Australia 6009
Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

Daniel Cahill

University of Western Australia, Buiness School ( email )

35 Stirling Highway
Crawley, Western Australia 6009
Australia

Keith Godfrey

The University of Western Australia - Department of Accounting and Finance ( email )

School of Business
35 Stirling Highway
Crawley, Western Australia 6009
Australia
+61864885839 (Phone)

Zhangxin (Frank) Liu

The University of Western Australia Business School ( email )

School of Business
35 Stirling Highway
Crawley, Western Australia 6009
Australia

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
1,080
Abstract Views
3,923
Rank
37,717
PlumX Metrics