THE EFFECT OF CALENDAR TURNING POINTS IN THE CRYPTOCURRENCY MARKET

Aozora, Alisha and Lingga, Margaretha and Hidayat, Nila K. (2020) THE EFFECT OF CALENDAR TURNING POINTS IN THE CRYPTOCURRENCY MARKET. Bachelor thesis, Swiss German University.

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Abstract

Cryptocurrencies are a form of digital currency that has a decentralized market. Unlike the stock market, cryptocurrency market is open twenty-four hours, seven days a week for trading. This study aims to examine and analyze the calendar effects that exists in the cryptocurrency market. This study observed day of the week effect, month of the year effect, and turn of the year effect. Bitcoin, Ethereum, Ripple, and Litecoin daily returns and monthly returns are used as the sample of this study. This study analyzed over the period of September 2016 to May 2021. The data is calculated using dummy regression analysis with cryptocurrency return as the dependent variable. Empirical result shows that all cryptocurrencies observed have day of the week effect and month of the year effect. The study provides evidence of the presence of calendar effects on Monday, Thursday, Friday, Saturday, Sunday, the months April, May, and December, and Ethereum has turn of the year effect.

Item Type: Thesis (Bachelor)
Subjects: H Social Sciences > HG Finance > HG1710-HG1710.5 Digital currency, Electronic funds transfers, Cryptocurrencies
Divisions: Faculty of Business Administration and Communication > Department of Business Administration
Depositing User: Mr Arinton Sinaga
Date Deposited: 13 Dec 2024 02:30
Last Modified: 13 Dec 2024 02:30
URI: http://repository.sgu.ac.id/id/eprint/2764

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