- Tytuł:
- The day-of-the-week effect on the example of 82 cryptocurrencies
- Autorzy:
-
Borowski, Krzysztof
Matusewicz, Michał - Powiązania:
- https://bibliotekanauki.pl/articles/2077401.pdf
- Data publikacji:
- 2019-09-30
- Wydawca:
- Wyższa Szkoła Finansów i Zarządzania w Białymstoku
- Tematy:
-
the day-of-the-week effect
cryptocurrencies - Opis:
- The problem of the effectiveness of financial markets has been the subject of interest of scientists for many years. Recently, along with the development of the cryptocurrency market, research on the effectiveness of this fragment of the financial market has begun. In the article, the occurrence of the day of the week was analyzed on the example of logarithmic rates of return of 82 cryptocurrencies vs. USD. Not only Close-Close return rates were analyzed, but also Overnight, Open-Open and Open-Close. The distribution of logarithmic rates of return was not normal for most of the cryptocurrencies analyzed. That why in the statistical analysis the Kruskal-Wallis parametric test was implemented. For individual cryptocurrencies, the occurrence of inefficiency was found for different days of the week and different types of return rates (C-C, Ov, O-C and O-O). The largest number of rejections of the null hypothesis took place for the following cryptocurrencies (the least effective cryptocurrencies): Aelf, Aeternity and Aion. No example of ineffectiveness was discovered in the case of cryptocurrencies:Ark, Basic Attention, Bitcoin, Bitcoin Gold, Cindicator, Dash, Denta Coin, Digixdao, Dogecoin, Electroneum, Enigma, EOS, Ethereum, Gas, Gnosis, Golem, Kucoin, Kyber Network, Lisk, Litecoin, Maidsafecoin, Monacoin, Neblio, OmiseGo, Tron, Wax.
- Źródło:
-
Przedsiębiorstwo & Finanse; 2019, 3; 31-50
2084-1361 - Pojawia się w:
- Przedsiębiorstwo & Finanse
- Dostawca treści:
- Biblioteka Nauki
Artykuł