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The day-of-the-week effect on Bitcoin return and volatility

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  • Ma, Donglian
  • Tanizaki, Hisashi

Abstract

This study investigates the day-of-the-week effect on both return and volatility of Bitcoin (BTC) from January 2013 to December 2018 using daily data obtained from CoinDesk Bitcoin Price Index. Estimation results suggest that the day-of-the-week effect in return equation varies with sample periods, while significantly high volatilities are observed on Monday and Thursday. Hence, the significantly high mean return of Bitcoin on Monday is found as a response to higher volatility. Besides, the day-of-the-week effect on both return and volatility remains robust after accounting for stock market returns (S&P 500; SSEC; Nikkei 225) and foreign exchange market returns (USD/CNY; USD/JPY; EURO/USD). Finally, no asymmetry effect on volatility is discovered here.

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  • Ma, Donglian & Tanizaki, Hisashi, 2019. "The day-of-the-week effect on Bitcoin return and volatility," Research in International Business and Finance, Elsevier, vol. 49(C), pages 127-136.
    • Handle: RePEc:eee:riibaf:v:49:y:2019:i:c:p:127-136
    DOI: 10.1016/j.ribaf.2019.02.003
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