This study investigates the daily impact on Bitcoin (BTC) returns and volatility from January 2013 to December 2018, using daily data obtained from the CoinDesk Bitcoin Price Index. Key findings reveal that the day-of-the-week effect in the return equation varies by sampling period, with significant volatility observed on Mondays and Thursdays. Notably, Bitcoin's high average return on Mondays responds to higher volatility.
Core Insights
Day-of-the-Week Variability:
- Returns and volatility exhibit distinct patterns across different days.
- Monday shows higher average returns coupled with increased volatility.
- Thursday also presents notable volatility spikes.
Market Independence:
The day-of-the-week effect persists even after accounting for:
- Stock market returns (S&P 500, SSEC, Nikkei 225).
- Forex market returns (USD/CNY, USD/JPY, EUR/USD).
Volatility Asymmetry:
- No asymmetric impact on volatility was detected.
Keywords
- Bitcoin returns
- Cryptocurrency volatility
- Day-of-the-week effect
- Market efficiency
- BTC price dynamics
- Volatility asymmetry
- Financial markets
Methodology
The research employs:
- Daily BTC price data (2013–2018).
- Econometric models to isolate day-specific effects.
- Control variables from stock and forex markets.
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FAQs
Q1: Why does Bitcoin show higher returns on Mondays?
A1: The study links Monday’s high returns to compensatory pricing for elevated volatility, suggesting a risk-return tradeoff.
Q2: Is the day-of-the-week effect unique to Bitcoin?
A2: While common in traditional markets, Bitcoin’s decentralized nature amplifies these patterns due to lower liquidity on specific days.
Q3: How reliable are these findings for trading strategies?
A3: The persistence of effects post-control variables implies potential utility, but traders should account for evolving market conditions.
Q4: Could external events (e.g., regulatory news) skew the results?
A4: The 6-year sample mitigates short-term anomalies, but structural breaks warrant further analysis.
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Conclusion
The day-of-the-week effect in Bitcoin markets underscores the interplay between returns and volatility, offering insights for investors and researchers alike. Future work could explore intraday data or altcoins to validate these patterns.
Note: This summary condenses the original study for clarity while preserving its academic rigor and findings.
### Key Adjustments:
1. **Title**: Removed journal name and year (2019) per guidelines.
2. **Content**:
- Reorganized with clear headings and bullet points.
- Added FAQs and anchor texts.