Email this article 
Hide
Show all
Day of the Week Effect dan Volatilitas Cryptocurrency pada Masa Pandemi Covid-19
Abstract
The cryptocurrency market is a market that attracts researchers and investors because it is open every day. This can be seen by the anomalies that occur in the cryptocurrency market. This research uses cryptocurrencies with the largest market cap in 2020, namely Bitcoin, Ethereum, Tether, XRP, and Bitcoin cash as research objects. The data in this study uses daily returns for testing the day of the week effect and daily volatility on the cryptocurrencies under study. This study uses GARCH (1,1) to determine the day of the week effect and daily volatility in the cryptocurrency under study. The results of this study indicate that there is a day of the week effect and daily volatility in the cryptocurrency under study, and it does not move freely. This causes the cryptocurrency market to become an inefficient market. The patterns that occur can be exploited by investors as well as other research on the cryptocurrency under study. Investors can avoid days that have high volatility for example in Bitcoin which experiences high volatility on Fridays and Saturdays because it has a high risk as well. Investors are advised to be able to trade on Thursday for high returns and less risk.
Keywords
Full Text:
PDFReferences
Akyildirim, E., Corbet, S., Lucey, B., Sensoy, A., & Yarovaya, L. (2020). The relationship between implied volatility and cryptocurrency returns. Finance Research Letters, 33, 1–10. https://doi.org/10.1016/j.frl.2019.06.010
Alexander, D. L. J., Tropsha, A., & Winkler, D. A. (2015). Beware of R2: Simple, Unambiguous Assessment of the Prediction Accuracy of QSAR and QSPR Models. Journal of Chemical Information and Modeling, 55(7), 1316–1322. https://doi.org/10.1021/acs.jcim.5b00206
Bakar, N. A., & Rosbi, S. (2017). Autoregressive Integrated Moving Average (ARIMA) Model for Forecasting Cryptocurrency Exchange Rate in High Volatility Environment: A New Insight of Bitcoin Transaction. International Journal of Advanced Engineering Research and Science, 4(11), 130–137. https://doi.org/10.22161/ijaers.4.11.20
Baur, D. G., Cahill, D., Godfrey, K., & (Frank) Liu, Z. (2019). Bitcoin time-of-day, day-of-week and month-of-year effects in returns and trading volume. Finance Research Letters, 31, 78–92. https://doi.org/https://doi.org/10.1016/j.frl.2019.04.023
Bhuriya, D., Kaushal, G., Sharma, A., & Singh, U. (2017). Stock market predication using a linear regression. 2017 International Conference of Electronics, Communication and Aerospace Technology (ICECA), 2, 510–513. https://doi.org/10.1109/ICECA.2017.8212716
Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31(3), 307–327. https://doi.org/https://doi.org/10.1016/0304-4076(86)90063-1
Breinlich, H., Leromain, E., Novy, D., Sampson, T., & Usman, A. (2018). The Economic Effects of Brexit: Evidence from the Stock Market. Fiscal Studies, 39(4), 581–623. https://doi.org/10.1111/1475-5890.12175
Caporale, G. M., & Plastun, A. (2019). The day of the week effect in the cryptocurrency market. Finance Research Letters, 31(November), 258–269. https://doi.org/10.1016/j.frl.2018.11.012
Casal Bértoa, F., Deegan-Krause, K., & Haughton, T. (2017). The volatility of volatility: Measuring change in party vote shares. Electoral Studies, 50, 142–156. https://doi.org/10.1016/j.electstud.2017.09.007
Cengiz, H., Bilen, Ö., Büyüklü, A. H., & Damgacı, G. (2017). Stock market anomalies: the day of the week effects, evidence from Borsa Istanbul. Journal of Global Entrepreneurship Research, 7(1), 4. https://doi.org/10.1186/s40497-017-0062-6
Chowdhury, S. S. H., Rahman, M. A., & Sadique, M. S. (2017). Stock return autocorrelation, day of the week and volatility An empirical investigation on the Saudi Arabian stock market. Review of Accounting and Finance, 16(2), 218–238. https://doi.org/10.1108/RAF-12-2014-0146
Cocco, L., Concas, G., & Marchesi, M. (2017). Using an artificial financial market for studying a cryptocurrency market. Journal of Economic Interaction and Coordination, 12(2), 345–365. https://doi.org/10.1007/s11403-015-0168-2
Conrad, C., Custovic, A., & Ghysels, E. (2018). Long- and Short-Term Cryptocurrency Volatility Components: A GARCH-MIDAS Analysis. Journal of Risk and Financial Management, 11(2), 23. https://doi.org/10.3390/jrfm11020023
Corbet, S., Larkin, C., & Lucey, B. (2020). The contagion effects of the COVID-19 pandemic: Evidence from gold and cryptocurrencies. Finance Research Letters, 35, 101554. https://doi.org/https://doi.org/10.1016/j.frl.2020.101554
Derbali, A., & Hallara, S. (2016). Day-of-the-week effect on the Tunisian stock market return and volatility. Cogent Business and Management, 3(1), 1147111. https://doi.org/10.1080/23311975.2016.1147111
Donglian, M., & Hisashi, T. (2019). On the day-of-the-week effects of Bitcoin markets: international evidence. China Finance Review International, 9(4), 455–478. https://doi.org/10.1108/CFRI-12-2018-0158
Dorfleitner, G., & Lung, C. (2018). Cryptocurrencies from the perspective of euro investors: a re-examination of diversification benefits and a new day-of-the-week effect. Journal of Asset Management, 19(7), 472–494. https://doi.org/10.1057/s41260-018-0093-8
Eyüboğlu, K. (2018). Examining Day of the Week and Month of the Year Effects in Bitcoin and Litecoin Markets. Journal of the Faculty of Economics and Administrative Sciences, 8(1), 165–183. https://d1wqtxts1xzle7.cloudfront.net/56915106/10.18074-ckuiibfd.376055-498231.pdf?1530605292=&response-content-disposition=inline%3B+filename%3DExamining_Day_of_the_Week_and_Month_of_t.pdf&Expires=1602146307&Signature=G8fuUtJctqwBWwaqlUizaem~yyDRcj76wmVH
Gatheral, J., Jaisson, T., & Rosenbaum, M. (2018). Volatility is rough. Quantitative Finance, 18(6), 933–949. https://doi.org/10.1080/14697688.2017.1393551
Greene, W. H. (2003). Econometric Analysis 5th edition. New Jersey: Prentice Hall.
Hassan, M. H., & Kayser, M. S. (2019). Day of the week effect on stock market return, volatility and trade volume: Evidence from Dhaka Stock Exchange (DSE). Cogent Economics and Finance, 7(1), 1–13. https://doi.org/10.1080/23322039.2019.1605105
Jordà, Ò., Knoll, K., Kuvshinov, D., Schularick, M., & Taylor, A. M. (2019). The Rate of Return on Everything, 1870–2015*. The Quarterly Journal of Economics, 134(3), 1225–1298. https://doi.org/10.1093/qje/qjz012
Katsiampa, P., Corbet, S., & Lucey, B. (2019). High frequency volatility co-movements in cryptocurrency markets. Journal of International Financial Markets, Institutions and Money, 62, 35–52. https://doi.org/https://doi.org/10.1016/j.intfin.2019.05.003
Kussy, M. (2017). Current volatility as a measure of market risk. International Journal of Risk Assessment and Management, 20(4), 333–349. https://doi.org/10.1504/IJRAM.2017.087903
Lahmiri, S., & Bekiros, S. (2020). The impact of COVID-19 pandemic upon stability and sequential irregularity of equity and cryptocurrency markets. Chaos, Solitons & Fractals, 138, 109936. https://doi.org/https://doi.org/10.1016/j.chaos.2020.109936
Ma, D., & Tanizaki, H. (2019). the Day-of-the-Week Effect on Bitcoin Return and Volatility. Research in International Business and Finance, 49, 127–136.
https://doi.org/https://doi.org/10.1016/j.ribaf.2019.02.003
Marcu, N., Dobrota, C. elena, & Antoneac (Calin), R. (2017). An Investigation Of The Day-Of-The-Week Effect In Conditional Variance At The Bucharest Stock Exchange. Romanian Journal of Economic Forecasting, 31(4), 739–758. http://www.rjef.ro/rjef/rjef2_17/rjef2_2017p124-134.pdf
Mbanga, C. L. (2019). The day-of-the-week pattern of price clustering in Bitcoin. Applied Economics Letters, 26(10), 807–811. https://doi.org/10.1080/13504851.2018.1497844
Mikhaylov, A. (2020). Cryptocurrency Market Analysis from the Open Innovation Perspective. In Journal of Open Innovation: Technology, Market, and Complexity (Vol. 6, Issue 4). https://doi.org/10.3390/joitmc6040197
Neubig, R. R., Spedding, M., Kenakin, T., & Christopoulos, A. (2003). International Union of Pharmacology Committee on Receptor Nomenclature and Drug Classification. XXXVIII. Update on Terms and Symbols in Quantitative Pharmacology. Pharmacological Reviews, 55(4), 597–606. https://doi.org/10.1124/pr.55.4.4
Okey, J.O. & Okereke, N. & Edith, O. (2016). Day of the Week Effect : Evidence from the Nigerian Stock Exchange. International Journal of Banking and Finance Research, 2(3), 76–90. https://poseidon01.ssrn.com/delivery.php
Robiyanto, R. (2016). Month of the Year Effect Pada Beberapa Pasar Modal di Asia Tenggara dan Pasar Komoditas. Jurnal Ekonomi Dan Bisnis, 18(2), 53. https://doi.org/10.24914/jeb.v18i2.260
Robiyanto, R., Susanto, Y. A., & Ernayani, R. (2019). Examining the day-of-the-week-effect and the-month-of-the-year-effect in cryptocurrency market. Jurnal Keuangan Dan Perbankan, 23(3), 361–375. https://doi.org/10.26905/jkdp.v23i3.3005
Sudarvel, J., & Velmurugan, R. (2017). Day Of The Week Effect In Indian Stock Market With Reference To NSE Nifty Index. International Journal of Multidisciplinary Educational Research, 5(9(4)), 145–153.
https://www.researchgate.net/profile/Ramaswamy_Velmurugan2/publication/315891601_day_of_the_week_effect_in_indian_stock_market_with_reference_to_nse_nifty_index/links/58ec83514585153b60c98c17/day-of-the-week-effect-in-indian-stock-market-with-reference-to
Vardar, G., Coşkun, Y., & Yelkenci, T. (2018). Shock transmission and volatility spillover in stock and commodity markets: evidence from advanced and emerging markets. Eurasian Economic Review, 8(2), 231–288. https://doi.org/10.1007/s40822-018-0095-3
Walther, T., Klein, T., & Bouri, E. (2019). Exogenous drivers of Bitcoin and Cryptocurrency volatility – A mixed data sampling approach to forecasting. Journal of International Financial Markets, Institutions and Money, 63, 1–26. https://doi.org/10.1016/j.intfin.2019.101133
Warsito, O. L. D., & Robiyanto, R. (2020). Analisis Volatilitas Cryptocurrency, Emas, Dollar, Dan Indeks Harga Saham (Ihsg). International Journal of Social Science and Business, 4(1), 40–46. https://doi.org/10.23887/ijssb.v4i1.23887
Xiao, B. (2016). The Monthly Effect and the Day of the Week Effect in the American Stock Market. International Journal of Financial Research, 7(2), 10–17. https://doi.org/10.5430/ijfr.v7n2p11
Zhang, J., Lai, Y., & Lin, J. (2017). The day-of-the-Week effects of stock markets in different countries. Finance Research Letters, 20, 47–62. https://doi.org/https://doi.org/10.1016/j.frl.2016.09.006
DOI: https://doi.org/10.26905/afr.v4i1.5713
Refbacks
- There are currently no refbacks.
This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
AFRE (Accounting and Financial Review) Postgraduate - University of Merdeka Malang Postgraduate Building, Terusan Dieng Street 62-64 | Other Link | Follow Us | |||||
| Site Home Journal Unmer Malang Postgraduate LPPM Library Repository |
|
AFRE (Accounting and Financial Review) |
