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Cryptocurrency Market Anomalies: The Day-of-the-week Effect : A study on the existence of the Day-of-the-week effect in cryptocurrencies and crypto portfolios.

This research paper studies the Day-of-the-week effect in the cryptocurrency market. Using multiple regression, we analyze the effect using 12 counterfactual optimized portfolios of the cryptocurrencies, as well as the 10 cryptocurrencies alone. Our findings show that well-optimized cryptocurrency portfolios are not subject to Day-of-the-week effects. A positive Monday and a negative Thursday effect were confirmed in Bitcoin, Ethereum, and Ripple, as well as a negative Sunday effect for Ripple.

Identiferoai:union.ndltd.org:UPSALLA1/oai:DiVA.org:hj-57129
Date January 2022
CreatorsHinny, Robin, Szabó, Dorottya Kata
PublisherJönköping University, IHH, Nationalekonomi
Source SetsDiVA Archive at Upsalla University
LanguageEnglish
Detected LanguageEnglish
TypeStudent thesis, info:eu-repo/semantics/bachelorThesis, text
Formatapplication/pdf
Rightsinfo:eu-repo/semantics/openAccess

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