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- W2904762425 abstract "Abstract The day-of-the-week effect is a well-known phenomenon in financial markets, detected in the price of equities, bonds, currencies and commodities. In this study, we extend the exploration of this anomaly to Bitcoin. Using OLS and GARCH models with daily data for 2010–2017, we provide initial evidence about the existence of the day-of-the-week effect anomaly not only in returns but also in the volatility of Bitcoin. Our results also indicate the strong independence of Bitcoin and that classic speculative variables in the financial markets are limited in forecasting the price of Bitcoin. Our results are robust using different subsamples, estimation procedures and control variables." @default.
- W2904762425 created "2018-12-22" @default.
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- W2904762425 date "2019-12-01" @default.
- W2904762425 modified "2023-10-03" @default.
- W2904762425 title "Bitcoin and the day-of-the-week effect" @default.
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- W2904762425 doi "https://doi.org/10.1016/j.frl.2018.12.004" @default.
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