Exploring Calendar Effects in Bitcoin Returns: An Analysis of Market Efficiency

Abstract

Abstract This study delves into the exploration of calendar effects within Bitcoin returns to examine the validity of the Efficient Market Hypothesis (EMH) in the context of the cryptocurrency market. Leveraging data spanning from October 2015 to November 2021, this research employs regression analysis and power ratio analysis to investigate the presence of day-of-the-week and intraday effects on Bitcoin prices. The findings reveal statistically significant anomalies for Fridays and specific intraday periods, suggesting the potential for abnormal returns. However, these calendar effects are not pervasive enough to conclusively impact overall market efficiency. The study's results indicate that while Bitcoin's market may exhibit short-term inefficiencies, it largely conforms to the principles of market efficiency over extended periods. This research contributes to the ongoing discourse on the efficiency of cryptocurrency markets and highlights the necessity for further investigation using diverse methodologies to fully understand the dynamics at play. Keywords: Calendar Effect, Bitcoin Price, Regression Analysis, Power Ratio.