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Revisiting seasonality in cryptocurrencies

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  • Mueller, Lukas

Abstract

The evidence on seasonality in cryptocurrency returns is not robust. Although the positive Monday effect for Bitcoin is internally valid, it does not persist in data after 2015. We do not find robust evidence of return abnormalies but of lower trading activity on weekends. This finding is robust across 500 different coins. We also find that the Monday effect in the cross-section of coins is typically negative, but the confidence intervals remain wide.

Suggested Citation

  • Mueller, Lukas, 2024. "Revisiting seasonality in cryptocurrencies," Finance Research Letters, Elsevier, vol. 64(C).
    • Handle: RePEc:eee:finlet:v:64:y:2024:i:c:s1544612324004598
    DOI: 10.1016/j.frl.2024.105429
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    References listed on IDEAS

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    1. Liu, Wenqiong & Bao, Xiaohan & Han, Xing & Li, Youwei, 2025. "Liquidity commonality in cryptocurrencies," Finance Research Letters, Elsevier, vol. 85(PD).

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