Bitcoin'de Haftanın Günü Ve Yılın Ayı Anomalilerinin Varlığının İncelenmesi

Abstract

The main purpose of this study is to reveal whether seasonal/time-oriented/calendar anomalies affect the price and transaction volume of Bitcoin. Day of the week and month of the year anomalies are examined in this context. The data for the years 2013-2021 are handled in 3 different sampling periods, consisting of the whole of this time period and each of its divided parts. The existence of these anomalies is analyzed with EGARCH models created separately. The most important conclusion reached in this study is that the analyzed anomalies differ according to the sampling periods. The common findings reached as a result of the analyzes for all three time intervals are as follows: It has been determined that Monday has positive effects in terms of both Bitcoin return and transaction volume, while Saturday has negative effects only regarding transaction volume. Mondays, Tuesdays, and Wednesdays create volatility-increasing effects concerning returns, Friday, Saturday and Sunday reduce volatility. In terms of trading volume, Monday and Tuesday reduce volatility, while Thursday and Friday increase volatility. Whereas March has a positive effect on return volatility, it has a negative effect on trading volume volatility, and September has only a negative effect on return volatility.