Volatility and the Day of the Week Effect on Bitcoin Returns

EMIKONEL, MURAT; EMIKONEL, MELEK; Orhan, Ayhan

Volatility and the Day of the Week Effect on Bitcoin Returns

Ayhan ORHAN, (Kocaeli Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, İktisat Bölümü, Kocaeli, Türkiye)

Murat EMİKÖNEL, (Kocaeli Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, İktisat Bölümü, Kocaeli, Türkiye)

Melek EMİKÖNEL (Kocaeli Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, İktisat Bölümü, Kocaeli, Türkiye)

Journal of emerging economies and policy (Online)

2 0

Yıl: 2021 Cilt: 6 Sayı: 2 Sayfa Aralığı: 51 - 58 Metin Dili: İngilizce İndeks Tarihi: 29-07-2022

Volatility and the Day of the Week Effect on Bitcoin Returns

Öz:

Bitcoin emerged as a peer-to-peer electronic cash system with no owner and no central authority. It has increased in popularity over the years due to reasons such as being used as a means of exchange without the need for any intermediary, fast and low cost of transactions. In this process, the increases in its circulation amount and its demand and the sudden increases and decreases in its price caused high volatility. For this reason, in this study, it is aimed to determine the volatility in Bitcoin returns with the effect of the day of the week. In this direction, the result of the analysis has been relatively strengthened by using the data set consisting of 2877-day closing prices in the study. As a result of the analysis, it was determined that the day with the highest return was Monday and the day with the highest volatility in return was Saturday.

Anahtar Kelime: Volatility Day of Week effect Predictive model Cryptocurrency-Bitcoin ARCH-GARCH

Bitcoin Getirileri Üzerinde Haftanın Günü ve Oynaklık Etkisi

Öz:

Bitcoin, sahibi ve merkezi otoritesi bulunmayan eşler arası elektronik nakit sistemi olarak ortaya çıkmıştır. Herhangi bir aracıya ihtiyaç duymadan değişim aracı olarak kullanılması, işlemlerin hızlı ve maliyetinin düşüklüğü gibi sebeplerle de yıllar içerisinde popülaritesini artırmıştır. Bu süreçte dolaşımdaki miktarının ve talebindeki artışlar ile fiyatındaki ani yükselişler ve düşüşler yüksek oynaklığa neden olmuştur. Bu sebeple çalışmada, Bitcoin getirilerinde haftanın günü etkisi ile getirilerdeki oynaklığın belirlenmesi amaçlanmıştır. Bu doğrultuda çalışmada 2877 günlük kapanış fiyatlarından oluşan veri seti kullanılarak analiz sonucu göreli olarak sağlamlaştırılmıştır. Analiz sonucunda getirinin en yüksek olduğu gün pazartesi, getirideki oynaklığın en yüksek olduğu gün cumartesi olarak belirlenmiştir.

Anahtar Kelime:

Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık

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APA	Orhan A, EMIKONEL M, EMIKONEL M (2021). Volatility and the Day of the Week Effect on Bitcoin Returns. , 51 - 58.
Chicago	Orhan Ayhan,EMIKONEL MURAT,EMIKONEL MELEK Volatility and the Day of the Week Effect on Bitcoin Returns. (2021): 51 - 58.
MLA	Orhan Ayhan,EMIKONEL MURAT,EMIKONEL MELEK Volatility and the Day of the Week Effect on Bitcoin Returns. , 2021, ss.51 - 58.
AMA	Orhan A,EMIKONEL M,EMIKONEL M Volatility and the Day of the Week Effect on Bitcoin Returns. . 2021; 51 - 58.
Vancouver	Orhan A,EMIKONEL M,EMIKONEL M Volatility and the Day of the Week Effect on Bitcoin Returns. . 2021; 51 - 58.
IEEE	Orhan A,EMIKONEL M,EMIKONEL M "Volatility and the Day of the Week Effect on Bitcoin Returns." , ss.51 - 58, 2021.
ISNAD	Orhan, Ayhan vd. "Volatility and the Day of the Week Effect on Bitcoin Returns". (2021), 51-58.

APA	Orhan A, EMIKONEL M, EMIKONEL M (2021). Volatility and the Day of the Week Effect on Bitcoin Returns. Journal of emerging economies and policy (Online), 6(2), 51 - 58.
Chicago	Orhan Ayhan,EMIKONEL MURAT,EMIKONEL MELEK Volatility and the Day of the Week Effect on Bitcoin Returns. Journal of emerging economies and policy (Online) 6, no.2 (2021): 51 - 58.
MLA	Orhan Ayhan,EMIKONEL MURAT,EMIKONEL MELEK Volatility and the Day of the Week Effect on Bitcoin Returns. Journal of emerging economies and policy (Online), vol.6, no.2, 2021, ss.51 - 58.
AMA	Orhan A,EMIKONEL M,EMIKONEL M Volatility and the Day of the Week Effect on Bitcoin Returns. Journal of emerging economies and policy (Online). 2021; 6(2): 51 - 58.
Vancouver	Orhan A,EMIKONEL M,EMIKONEL M Volatility and the Day of the Week Effect on Bitcoin Returns. Journal of emerging economies and policy (Online). 2021; 6(2): 51 - 58.
IEEE	Orhan A,EMIKONEL M,EMIKONEL M "Volatility and the Day of the Week Effect on Bitcoin Returns." Journal of emerging economies and policy (Online), 6, ss.51 - 58, 2021.
ISNAD	Orhan, Ayhan vd. "Volatility and the Day of the Week Effect on Bitcoin Returns". Journal of emerging economies and policy (Online) 6/2 (2021), 51-58.