Seasonality anomalies in the cryptocurrency market

• Autor(a) principal: Ossola, Davide
• Data de Publicação: 2022
• Tipo de documento: Dissertação
• Idioma: eng
• Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
• Texto Completo: http://hdl.handle.net/10400.14/40835
• topic: Market efficiency; Seasonality; Weekend effect; Cryptocurrency; Size effect; Eficiência de mercado; Sazonalidade; Efeito de fim-de-semana; Criptomoeda; Efeito de dimensão; Domínio/Área Científica::Ciências Sociais::Economia e Gestão

This study revisits the market efficiency theory, evaluating one anomaly analyzed and comprised in Fama’s market efficiency theory (1991), seasonalities of returns in securities. This topic has been thoroughly analyzed for traditional financial instruments such as stocks and currencies. After describing most of the seasonality typologies found in the literature, this study proposes a similar analysis for cryptocurrencies. The Weekend effect, Weekly effect, Monthly effect, and Halloween effect are explored with a focus on potential differences among different 3 assets. Prices, volumes, returns, and market capitalization are considered to evaluate potential seasonalities. The results show that, as per the traditional securities, seasonalities persist in the cryptocurrency market reflecting a size effect in the magnitude of the effects isolated. These effects recur significantly for Mondays or Fridays or during the November-April semester returns. Monthly effects have been found; however, seasonal returns seem to occur differently from the stock market, potentially because of the lack of the tax payment loss distinguishing firms. Further research should dig deeper into how the nature and size of coins are influencing this effect. Moreover, the impacting role of institutional investors is disregarded, and further studies should evaluate if this impact would affect the anomaly, diminishing it as occurred in the stock market. From an asset pricing perspective, the exploitability of this anomaly should be evaluated to accept or not the weak form of market efficiency.