CAN CRYPTOCURRENCY MARKETS BE BEATEN? CALENDAR ANOMALIES ASPECT

Abstract

The cryptocurrency market is so recent and emerging. As done for every financial market, the participants of this market act to beat it by using historical price data. In literature, traditional financial markets, e.g. stock and exchange, are non-effective due to calendar anomaly, by period. This study applied to a comprehensive empirical research including 5 calendar effect anomaly on top 9 cryptocurrencies. Thanks to GARCH model, not returns only but also variances were examined. Generally, cryptocurrencies have weak form and non-efficient market. In detail, every cryptocurrency has at least one calendar anomaly.