Market Efficiency and Calendar Anomalies Post-COVID: Insights from Bitcoin and Ethereum

Main Article Content

Sonal Sahu
https://orcid.org/0000-0002-2755-0980

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.

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How to Cite
Sahu, S. (2024). Market Efficiency and Calendar Anomalies Post-COVID: Insights from Bitcoin and Ethereum. The Anáhuac Journal, 24(1), Págs. 12–37. https://doi.org/10.36105/theanahuacjour.2024v24n1.01
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Artículos
Author Biography

Sonal Sahu, Tecnológico de Monterrey, Campus Guadalajara, Mexico

Sonal Sahu is a seasoned professor at Tecnológico de Monterrey, Guadalajara, Mexico, with a decade-long tenure in the Department of Finance and Accounting.
With over 11 years of work experience at Tecnológico de Monterrey, Sonal has demonstrated her expertise in finance and accounting education. Prior to her tenure at Tecnológico de Monterrey, Sonal held significant roles in the financial sector, accumulating over 10 years of experience working with prestigious institutions such as JP Morgan Chase, Deutsche Bank, ICICI Bank, and the Allianz Group. Currently pursuing a Ph.D. in Finance at EGADE Business School, her research focuses on cryptocurrencies and international investments, reflecting her dedication to understanding evolving financial landscapes. Sonal has showcased her scholarly prowess through publications in esteemed journals like the Risks Journal and presentations at conferences such as the European Conference on Games-Based Learning. Her contributions in academia and research underscore her commitment to advancing knowledge in finance and shaping future financial practices.

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