Should We Expect Bitcoin Markets to Be Efficient?
Yükleniyor...
Tarih
2021
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
İstanbul Gelişim Üniversitesi Yayınları / Istanbul Gelisim University Press
Erişim Hakkı
info:eu-repo/semantics/openAccess
Attribution-NonCommercial-NoDerivs 3.0 United States
Attribution-NonCommercial-NoDerivs 3.0 United States
Özet
We investigate whether Bitcoin markets demonstrate month-of-the-year effects, and whether such anomalies are present across markets that differ in terms of fees, trading requirements, size as well as the extent of legal support in their host countries. We use monthly return data for the period of 2015-2018 for Bitfinex, Bitstamp and Okcoin and find that returns were similar across the markets suggesting lack of internal frictions, and that all three Bitcoin markets showed a positive effect in December and a negative effect in January, followed by a positive effect in February. One explanation for the anomalies in the Bitcoin markets could be spillovers from the seasonal anomalies in broader markets, such as those posited by tax-loss or portfolio rebalancing hypotheses, which could result in some investors selling equity in December and repurchasing it in January and parking the proceeds in Bitcoin in the interim. If related to tax considerations, this situation could change as various jurisdictions start to enforce tax regulations for cryptocurrencies.
Açıklama
Anahtar Kelimeler
Bitcoin, Efficient Markets Theory, Month-of-the-Year Effect, Exchange Location, Calendar Anomaly, Cryptocurrency
Kaynak
Journal of Sustainable Economics and Management Studies
WoS Q Değeri
Scopus Q Değeri
Cilt
2
Sayı
2
