The impact of the day of the week on the financial market: an empirical investigation on cryptocurrencies

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dc.contributor.authorArzova, Sabri Burak
dc.contributor.authorKoy, Ayben
dc.contributor.authorŞahin, Bertaç Şakir
dc.date.accessioned2024-06-10T07:51:20Z
dc.date.available2024-06-10T07:51:20Z
dc.date.issued2024en_US
dc.departmentFakülteler, İşletme Fakültesi, Finans ve Bankacılık Bölümüen_US
dc.description.abstractPurpose: This study investigates the effect of the day of the week on the volatility of cryptocurrencies. Thus, we reveal investors' perceptions of the day of the week. Design/methodology/approach: The EGARCH model consists of the day of the week for 2019–2022 and the volatility of 11 cryptocurrencies. Findings: Empirical results show that the weekend harms cryptocurrency volatility. Also, there was positive cryptocurrency volatility at the beginning of the week. Our findings show that weekdays and weekends significantly impact cryptocurrency volatility. Besides, cryptocurrency investors are sensitive to market movements, disclosures, and regulations during the week. Holiday mode and cognitive shortcuts may cause cryptocurrency traders to remain passive on weekends. Research limitations/implications: This study has some limitations. We include 11 cryptocurrencies in the analysis by limiting cryptocurrencies according to market capitalizations. Further studies may analyze a larger sample. In addition, further studies may examine the moderator and mediator effects of other financial instruments. Practical implications: The empirical results have research, social and practical conclusions from different aspects. Our analysis may contribute to determining trading strategies, risk management, market efficiency, regulatory oversight, and investment decisions in the cryptocurrency market. Originality/value: The calendar effect in financial markets has extensive literature. However, cryptocurrencies' weekday and weekend effect needs to be adequately analyzed. Besides, studies analyzing cryptocurrency volatility are limited. We contribute to the literature by investigating the impact of days of the week on cryptocurrency volatility with a large sample and current data.en_US
dc.identifier.doi10.1108/IJQRM-03-2023-0092en_US
dc.identifier.scopus2-s2.0-85194538077en_US
dc.identifier.scopusqualityN/Aen_US
dc.identifier.urihttps://hdl.handle.net/11467/7298
dc.identifier.urihttps://doi.org/10.1108/IJQRM-03-2023-0092
dc.identifier.wosWOS:001236084400001en_US
dc.identifier.wosqualityN/Aen_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.language.isoenen_US
dc.publisherEmerald Publishingen_US
dc.relation.ispartofInternational Journal of Quality and Reliability Managementen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/embargoedAccessen_US
dc.subjectCalendar effect, Weekend effect, Cryptocurrency market, EGARCHen_US
dc.titleThe impact of the day of the week on the financial market: an empirical investigation on cryptocurrenciesen_US
dc.typeArticleen_US

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