Are Day-of-the-Week Effects in Cryptocurrencies Real? Intraday Evidence from Active and Less Active Cryptocurrencies

Abstract

This study revisits calendar anomalies in cryptocurrency markets using hourly data for four actively traded cryptocurrencies (Bitcoin, Ethereum, Tether USDt, and BNB) and eight less active cryptocurrencies. While prior studies based on daily returns provide mixed evidence on day-of-the-week (DoW) effects, we show that these patterns are not persistent daily phenomena. Instead, they are driven by a limited number of intraday intervals and do not reflect broad daily behavior.We further document that these effects are localized, asset-specific, and more pronounced among actively traded cryptocurrencies, while largely absent among less active ones.Overall, the findings indicate that cryptocurrency markets exhibit limited and short-lived inefficiencies rather than persistent anomalies. This highlights the importance of employing high-frequency data in studies of continuously traded markets and suggests that digital asset investors may benefit from the presence of abnormal returns only in a limited number of hours on specific days of the week.