Calendar Effects on Returns, Volatility and Higher Moments: Evidence from Crypto Markets

This study aims to investigate calendar effects in the cryptocurrency market. We consider the day-of-the-week, the month-of-the-year, quarter-of-the-year, the US Holidays, and Weekend calendar anomalies for the leading cryptocurrencies: Bitcoin, Dash, Dogecoin, Litecoin, Ripple, and Stellar. Our study employs the Autoregressive Conditional Density model with dummy variables to scrutinize these calendar effects. We find anomalies in the mean, variance, skewness, and kurtosis for these cryptocurrencies’ returns. Our result suggests that the cryptocurrency market in some periods tends to violate the Efficient Market Hypothesis.