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Eficiencia del mercado y anomalías de calendario pos-COVID: perspectivas de bitcoin y ethereum

Author

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  • Sonal Sahu

    (Tecnológico de Monterrey, Campus Guadalajara, Mexico)

Abstract

Este estudio investiga los efectos del día de la semana en el mercado digital, con un enfoque en bitcoin y ethereum, abarcando desde el 1º de julio de 2020 hasta el 31 de diciembre de 2023, en el período posterior al COVID-19. Empleando pruebas paramétricas y no paramétricas junto con el modelo GARCH (1,1), se analizó la dinámica del mercado. Los hallazgos indican un efecto significativo del día de la semana en ethereum, caracterizado por notables variaciones de rendimiento entre diferentes días, mientras que itcoin no muestra anomalías de calendario discernibles, lo que sugiere una mayor eficiencia del mercado. La susceptibilidad de ethereum a estos efectos subraya las complejidades actuales del mercado. Las disparidades en las anomalías del calendario surgen de la evolución de la dinámica del mercado, las diferencias metodológicas y la naturaleza especulativa del comercio de criptomonedas. Además, el mercado descentralizado y global complica la identificación precisa de los efectos en todo el mercado. Este estudio proporciona evidencia empírica sobre los efectos del día de la semana en el mercado de criptomonedas, lo que facilita a los inversionistas refinar las estrategias comerciales y la gestión de riesgos. Se justifica realizar más investigaciones para explorar los mecanismos subyacentes y monitorear los desarrollos regulatorios y tecnológicos para obtener información de los inversionistas.

Suggested Citation

  • Sonal Sahu, 2024. "Eficiencia del mercado y anomalías de calendario pos-COVID: perspectivas de bitcoin y ethereum," The Anahuac Journal, Business and Economics School. Anahuac University (Mexico)., vol. 24(1), pages 12-37, June.
    • Handle: RePEc:amj:journl:v:24:y:2024:i:1:p:12-37
    DOI: https://doi.org/10.36105/theanahuacjour.2024v24n1.01
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    References listed on IDEAS

    as
    1. Aggarwal, Divya, 2019. "Do bitcoins follow a random walk model?," Research in Economics, Elsevier, vol. 73(1), pages 15-22.
    2. Katsiampa, Paraskevi, 2017. "Volatility estimation for Bitcoin: A comparison of GARCH models," Economics Letters, Elsevier, vol. 158(C), pages 3-6.
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    Keywords

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    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G41 - Financial Economics - - Behavioral Finance - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making in Financial Markets

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