{"title":"加密货币市场的斋月效应","authors":"Carmen López-Martín","doi":"10.1108/rbf-09-2021-0173","DOIUrl":null,"url":null,"abstract":"PurposeThis paper examines the effect of the holy month of Ramadan on the returns and conditional volatility of cryptocurrency markets.Design/methodology/approachThe closing prices of six cryptocurrencies have been considered. The study employs different classical tests for checking if the efficiency behaviour is similar during Ramadan celebration days and non-Ramadan days. Besides, dummy variable regression technique for assessing this anomaly on returns and volatilities has been applied.FindingsAlthough no significant effect on returns and volatility for Litecoin has been found, the results provide evidence about the existence of the Ramadan effects in cryptocurrency markets. The results of the mean equations show the existence of Ramadan effect for Ethereum, Ripple, Stellar and BinanceCoin for all considered models. Significant effect on Bitcoin returns is found with an autoregressive model of order 1. The results of conditional volatility show Ramadan effect on volatility is not detected.Originality/valueFirst, a new contribution in the incipient study of cryptocurrency analysis. Second, a comprehensive review of recently published empirical articles about Ramadan effect on traditional assets has been carried out. Third, unlike most of the papers focussed on the study of Bitcoin, this study has been extended to six cryptocurrencies. Ramadan effect have not been analysed in cryptomarkets yet. This study come to fill this gap and analyses Ramadan effect, previously documented for traditional assets, in particular, stock index from Muslim countries, but not yet analysed in the cryptocurrency markets.","PeriodicalId":44559,"journal":{"name":"Review of Behavioral Finance","volume":null,"pages":null},"PeriodicalIF":1.9000,"publicationDate":"2022-05-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"2","resultStr":"{\"title\":\"Ramadan effect in the cryptocurrency markets\",\"authors\":\"Carmen López-Martín\",\"doi\":\"10.1108/rbf-09-2021-0173\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"PurposeThis paper examines the effect of the holy month of Ramadan on the returns and conditional volatility of cryptocurrency markets.Design/methodology/approachThe closing prices of six cryptocurrencies have been considered. The study employs different classical tests for checking if the efficiency behaviour is similar during Ramadan celebration days and non-Ramadan days. Besides, dummy variable regression technique for assessing this anomaly on returns and volatilities has been applied.FindingsAlthough no significant effect on returns and volatility for Litecoin has been found, the results provide evidence about the existence of the Ramadan effects in cryptocurrency markets. The results of the mean equations show the existence of Ramadan effect for Ethereum, Ripple, Stellar and BinanceCoin for all considered models. Significant effect on Bitcoin returns is found with an autoregressive model of order 1. The results of conditional volatility show Ramadan effect on volatility is not detected.Originality/valueFirst, a new contribution in the incipient study of cryptocurrency analysis. Second, a comprehensive review of recently published empirical articles about Ramadan effect on traditional assets has been carried out. Third, unlike most of the papers focussed on the study of Bitcoin, this study has been extended to six cryptocurrencies. Ramadan effect have not been analysed in cryptomarkets yet. This study come to fill this gap and analyses Ramadan effect, previously documented for traditional assets, in particular, stock index from Muslim countries, but not yet analysed in the cryptocurrency markets.\",\"PeriodicalId\":44559,\"journal\":{\"name\":\"Review of Behavioral Finance\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":1.9000,\"publicationDate\":\"2022-05-27\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"2\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Review of Behavioral Finance\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1108/rbf-09-2021-0173\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Review of Behavioral Finance","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1108/rbf-09-2021-0173","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
PurposeThis paper examines the effect of the holy month of Ramadan on the returns and conditional volatility of cryptocurrency markets.Design/methodology/approachThe closing prices of six cryptocurrencies have been considered. The study employs different classical tests for checking if the efficiency behaviour is similar during Ramadan celebration days and non-Ramadan days. Besides, dummy variable regression technique for assessing this anomaly on returns and volatilities has been applied.FindingsAlthough no significant effect on returns and volatility for Litecoin has been found, the results provide evidence about the existence of the Ramadan effects in cryptocurrency markets. The results of the mean equations show the existence of Ramadan effect for Ethereum, Ripple, Stellar and BinanceCoin for all considered models. Significant effect on Bitcoin returns is found with an autoregressive model of order 1. The results of conditional volatility show Ramadan effect on volatility is not detected.Originality/valueFirst, a new contribution in the incipient study of cryptocurrency analysis. Second, a comprehensive review of recently published empirical articles about Ramadan effect on traditional assets has been carried out. Third, unlike most of the papers focussed on the study of Bitcoin, this study has been extended to six cryptocurrencies. Ramadan effect have not been analysed in cryptomarkets yet. This study come to fill this gap and analyses Ramadan effect, previously documented for traditional assets, in particular, stock index from Muslim countries, but not yet analysed in the cryptocurrency markets.
期刊介绍:
Review of Behavioral Finance publishes high quality original peer-reviewed articles in the area of behavioural finance. The RBF focus is on Behavioural Finance but with a very broad lens looking at how the behavioural attributes of the decision makers influence the financial structure of a company, investors’ portfolios, and the functioning of financial markets. High quality empirical, experimental and/or theoretical research articles as well as well executed literature review articles are considered for publication in the journal.