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