Bitcoin and the day-of-the-week effect

David Yechiam Aharon, Mahmoud Qadan

Research output: Contribution to journalArticlepeer-review


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.

Original languageEnglish
Pages (from-to)415-424
Number of pages10
JournalFinance Research Letters
StatePublished - Dec 2019


  • Bitcoin
  • Calendar anomalies
  • Cryptocurrency
  • Market efficiency

All Science Journal Classification (ASJC) codes

  • Finance


Dive into the research topics of 'Bitcoin and the day-of-the-week effect'. Together they form a unique fingerprint.

Cite this