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Calendar effects on returns, volatility and higher moments: Evidence from crypto markets

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  • Algieri, Bernardina
  • Lawuobahsumo, Kokulo K.
  • Leccadito, Arturo
  • Zahid, Iliess

Abstract

This study aims to investigate calendar effects in the cryptocurrency market. We consider the day-of-the-week, the month-of-the-year, quarter-of-the-year, the US Holidays, and Weekend calendar anomalies for the leading cryptocurrencies: Bitcoin, Dash, Dogecoin, Ethereum, Litecoin, Monero Ripple, and Stellar. Our study employs the Autoregressive Conditional Density model with dummy variables to scrutinize these calendar effects. We find anomalies in the mean, variance, skewness, and kurtosis for these cryptocurrencies’ returns. Our result suggests that the cryptocurrency market in some periods tends to violate the Efficient Market Hypothesis.

Suggested Citation

  • Algieri, Bernardina & Lawuobahsumo, Kokulo K. & Leccadito, Arturo & Zahid, Iliess, 2025. "Calendar effects on returns, volatility and higher moments: Evidence from crypto markets," The North American Journal of Economics and Finance, Elsevier, vol. 79(C).
    • Handle: RePEc:eee:ecofin:v:79:y:2025:i:c:s1062940825000816
    DOI: 10.1016/j.najef.2025.102441
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    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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