Seasonality in Bitcoin Market

Abstract

Bitcoin is an online communication protocol, which facilitates electronic transactions. It has grabbed the attention of investors and researchers in the recent past. The non-regulatory feature of Bitcoin makes it riskier and the element of speculation in its trading is higher than any other financial asset. The study provides an insight into the price dynamics of Bitcoin by examining the day of the week and month of the year effect for the period 2013 to 2017. The findings of the study indicate the existence of seasonality in the return behaviour of Bitcoin as returns for Monday is higher than any other day of the week. Likewise, the returns earned during the month of November are significantly different from other months of the year. The results of the study assert a violation of the assumption of weak-form market efficiency and imply that the Bitcoin market provides an opportunity for the investors to exploit the market from its predictable behavior and fetch abnormal gains.