School of Management

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Browsing School of Management by Subject "Anomaly"

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    Cryptocurrency Market Anomaly: The Day-of-the-Week-Effect
    (Indian Institute of Finance, 2023-03-31T00:00:00) Verma, Ruchita; Sharma, Dhanraj; Sam, Shiney
    Cryptocurrency has emerged as a fad amongst investors, academicians and policy-makers as a financial asset, making it important to empirically test the price behaviour of this emerging market. This paper is designed to investigate the presence of a well-known day-of-the-week effect in the young and emerging cryptocurrency market returns from August 2015 to March 2019. Using varied statistical techniques, this anomaly is examined for six cryptocurrencies (Bitcoin, Ethereum, Ripple, Litecoin, Stellar and Tether). The study applies both parametric and non-parametric statistical tests, i.e.,Bar Graph, Heat map, Student�s t-test, Analysis of Variance (ANOVA),regression analysis with dummy variables and the Kruskal Wallis Test. The study�s findings show that no sample cryptocurrency returns exhibit the day-of-the-week effect phenomenon.The statistically insignificant result of the day-of-the-week effect in thecryptocurrency returns showcases the evidence of market efficiency in the cryptocurrency market. � Indian Institute of Finance.