Day of the week effect on the cryptomarket: A high-frequency asymmetric multifractal analysis

This article analyzes the calendar anomaly of the day of the week effect in the cryptocurrency market. Financial markets thrive on open marketplaces, faster communication and more information, making them more efficient. Higher efficiency would result in the disappearance of these calendar anomalies. We contribute by employing a novel asymmetric multifractal analysis of high-frequency returns during trading hours. Our findings revealed significant differences in the multifractal behavior of the hourly returns of the five leading cryptocurrencies. In particular, we observe a higher degree of multifractality on Thursdays. The Hurst exponent also showed statistically different values for the days of the week. Four of the five cryptocurrencies showed persistent behavior on Fridays and anti-persistent behavior on Tuesdays and Saturdays. These patterns offer potential for traders and investors to exploit, underscoring the practical value of this research.