Der Monatswechsel-Effekt bei Bitcoin

Abstract

This study analyzes the turn-of-the-month effect (for short TOM) using Generalized Autoregressive Conditional Heteroskedasticity model (GARCH) for the return and volatility of bitcoin from 2013 to 2022. The results show a positive TOM return, while there is no difference in volatility at the turn of the month and the rest of the month (ROM for short). A subdivision of the sample period shows that the TOM effect does not exist consistently for either return or volatility. This result corresponds to the Adaptive Market Hypothesis (AMH) approach of Lo (2004).