Is there Day-of-the-week Effects in Returns and Volatility of Cryptocurrency?

Abstract

This present paper investigates day-of-the-week effects in some notable cryptocurrency in terms of pricing and market capitalizations. Fractional integration regression approach with dummies method is applied. The results show non-significance of day-of-the-week effects in returns, while there is possible evidence of Monday and Friday effects in the volatility of Bitcoin only. Non-significance of day-of-the-week effects in returns of Bitcoin and some other cryptocurrencies further support market efficiency of these markets.