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A crypto-stock weekend effect: Predicting Monday stock returns using weekend cryptocurrency returns

Author

Listed:
  • Mourey, Mathis
  • Shahrour, Mohamad H.
  • Şoiman, Florentina

Abstract

This study examines the predictive power of weekend cryptocurrency performance on Monday stock returns. Using a Bayesian framework and Kalman filter, we analyze 20 of the largest cryptocurrencies, covering about 85% of market capitalization. Our results show a strong asymmetry: negative weekend returns significantly predict Monday equity declines, while positive returns have no effect. This pattern remains robust across benchmarks, including the Nasdaq, Russell 2000, S&P sector indices, and the S&P Crypto Index. The transmission mechanism strengthens markedly after the May 2022 LUNA collapse, signaling a structural break in crypto–equity dynamics. Our findings highlight the growing role of cryptocurrencies as transmitters of systemic risk and carry implications for forecasting, portfolio management, and financial stability monitoring.

Suggested Citation

  • Mourey, Mathis & Shahrour, Mohamad H. & Şoiman, Florentina, 2025. "A crypto-stock weekend effect: Predicting Monday stock returns using weekend cryptocurrency returns," Finance Research Letters, Elsevier, vol. 86(PE).
    • Handle: RePEc:eee:finlet:v:86:y:2025:i:pe:s1544612325019154
    DOI: 10.1016/j.frl.2025.108661
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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
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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