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      Market Efficiency and Calendar Anomalies Post-COVID: Insights from Bitcoin and Ethereum Translated title: Eficiencia del mercado y anomalías de calendario pos-COVID: perspectivas de bitcoin y Ethereum

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          Abstract

          Abstract This study investigates day-of-the-week effects in the digital market, with a focus on Bitcoin and Ethereum, spanning from July 1st, 2020, to December 31st, 2023, in the post-COVID-19 period. Employing parametric and non-parametric tests alongside the GARCH (1,1) model, market dynamics was analized. The findings indicate the presence of a day-of-the-week effect in Ethereum, characterized by notable return variations across different days, while Bitcoin exhibits no discernible calendar anomalies, suggesting enhanced market efficiency. Ethereum’s susceptibility to these effects underscores ongoing market complexities. Disparities in calendar anomalies stem from evolving market dynamics, methodological differences, and the speculative nature of cryptocurrency trading. Furthermore, the decentralized and global market complicates the accurate identification of market-wide effects. This study provides experimental findings on day-of-the-week effects in the digital market, facilitating investors in refining trading strategies and risk management. Further research is warranted to explore underlying mechanisms and monitor regulatory and technological developments for investor insights.

          Translated abstract

          Resumen Este estudio investiga los efectos del día de la semana en el mercado digital, con un enfoque en bitcoin y ethereum, abarcando desde el 1º de julio de 2020 hasta el 31 de diciembre de 2023, en el período posterior al COVID-19. Empleando pruebas paramétricas y no paramétricas junto con el modelo GARCH (1,1), se analizó la dinámica del mercado. Los hallazgos indican un efecto significativo del día de la semana en ethereum, caracterizado por notables variaciones de rendimiento entre diferentes días, mientras que bitcoin no muestra anomalías de calendario discernibles, lo que sugiere una mayor eficiencia del mercado. La susceptibilidad de ethereum a estos efectos subraya las complejidades actuales del mercado. Las disparidades en las anomalías del calendario surgen de la evolución de la dinámica del mercado, las diferencias metodológicas y la naturaleza especulativa del comercio de criptomonedas. Además, el mercado descentralizado y global complica la identificación precisa de los efectos en todo el mercado. Este estudio proporciona evidencia empírica sobre los efectos del día de la semana en el mercado de criptomonedas, lo que facilita a los inversionistas refinar las estrategias comerciales y la gestión de riesgos. Se justifica realizar más investigaciones para explorar los mecanismos subyacentes y monitorear los desarrollos regulatorios y tecnológicos para obtener información de los inversionistas.

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          Volatility estimation for Bitcoin: A comparison of GARCH models

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            Can volume predict Bitcoin returns and volatility? A quantiles-based approach

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              The Adaptive Markets Hypothesis

              Andrew Lo (2004)
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                Author and article information

                Journal
                taj
                The Anáhuac journal
                The Anáhuac j.
                Universidad Anáhuac del Sur S.C., Facultad de Economía y Negocios (Ciudad de México, Ciudad de México, Mexico )
                1405-8448
                2683-2690
                June 2024
                : 24
                : 1
                : 12-37
                Affiliations
                [1] orgnameInstituto Tecnológico y de Estudios Superiores de Monterrey Mexico sonal.sahu@ 123456tec.mx
                Author information
                https://orcid.org/0000-0002-2755-0980
                Article
                S2683-26902024000100012 S2683-2690(24)02400100012
                10.36105/theanahuacjour.2024v24n1.01
                bca6cf20-5414-492d-8a2a-a50be1a87583

                This work is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License.

                History
                : 03 March 2024
                : 22 May 2024
                Page count
                Figures: 0, Tables: 0, Equations: 0, References: 68, Pages: 26
                Product

                SciELO Mexico

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                Articles

                calendar anomalies,Cryptocurrencies,GARCH model,trading strategy,ANOVA,criptomonedas,anomalías de calendario,modelo GARCH,estrategia de trading

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