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

Author

Listed:
  • Mathis Mourey

    (The Hague University of Applied Sciences, CERAG - Centre d'études et de recherches appliquées à la gestion - UGA - Université Grenoble Alpes)

  • Mohamad H Shahrour

    (HBKU - Hamad Bin Khalifa University [Doha, Qatar])

  • Florentina Şoiman

    (CERAG - Centre d'études et de recherches appliquées à la gestion - UGA - Université Grenoble Alpes)

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

  • Mathis Mourey & Mohamad H Shahrour & Florentina Şoiman, 2025. "A crypto-stock weekend effect: Predicting Monday stock returns using weekend cryptocurrency returns," Post-Print hal-05415054, HAL.
    • Handle: RePEc:hal:journl:hal-05415054
    DOI: 10.1016/j.frl.2025.108661
    Note: View the original document on HAL open archive server: https://hal.science/hal-05415054v1
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    References listed on IDEAS

    as
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