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Reevaluating intermarket connectedness: The impact of Monday return calculations on cryptocurrencies and traditional assets

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  • Ali, Fahad
  • Du, Anna Min
  • Ansar Majeed, Muhammad

Abstract

Cryptocurrencies trade continuously, unlike traditional assets limited to weekdays, creating challenges in calculating Monday returns. This paper investigates the impact of four benchmark closing prices—Friday, Saturday, Sunday, and a weekend average—on intermarket connectedness. Analyzing 72 cryptocurrencies (2018–2024) and their relation to the S&P500 using the TVP-VAR model, we find significant variations in economic and statistical outcomes, influencing both the magnitude and direction of spillovers. Mixed log- and non-log-based return methods yield inconsistent results for specific cryptocurrencies like THETA, GNO, GLM, and WAVES. These findings highlight the critical importance of consistent return methodologies in cryptocurrency market analysis.

Suggested Citation

  • Ali, Fahad & Du, Anna Min & Ansar Majeed, Muhammad, 2025. "Reevaluating intermarket connectedness: The impact of Monday return calculations on cryptocurrencies and traditional assets," Finance Research Letters, Elsevier, vol. 77(C).
    • Handle: RePEc:eee:finlet:v:77:y:2025:i:c:s1544612325002806
    DOI: 10.1016/j.frl.2025.107016
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