Aozora, Alisha and Lingga, Margaretha (2021) The Effect of Calendar Turning Points in the Cryptocurrency Market. Bachelor thesis, Swiss German University.

Preview	Text Alisha Aozora 11703022 TOC.pdf Download (1MB) | Preview
	Text Alisha Aozora 11703022 1.pdf Restricted to Registered users only Download (763kB)
	Text Alisha Aozora 11703022 2.pdf Restricted to Registered users only Download (2MB)
	Text Alisha Aozora 11703022 3.pdf Restricted to Registered users only Download (947kB)
	Text Alisha Aozora 11703022 4.pdf Restricted to Registered users only Download (2MB)
	Text Alisha Aozora 11703022 5.pdf Restricted to Registered users only Download (423kB)
Preview	Text Alisha Aozora 11703022 Ref.pdf Download (890kB) | Preview

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)
Uncontrolled Keywords:	Calendar Effects, Cryptocurrency, Day of the Week Effect, Month of the Year Effect, Turn of the Year Effect
Subjects:	H Social Sciences > HF Commerce > HF5001 Business H Social Sciences > HG Finance > HG201-1496 Money
Divisions:	Faculty of Business Administration and Communication > Department of Business Administration
Depositing User:	Faisal Ifzaldi
Date Deposited:	29 Dec 2021 15:42
Last Modified:	29 Dec 2021 15:43
URI:	http://repository.sgu.ac.id/id/eprint/2250

Actions (login required)

View Item