CALENDAR ANOMALIES IN CRYPTOCURRENCIES

According to Efficient Market Hypothesis, markets reflect all available information to the investors. For this reason, investors do not have the chance to get abnormal return on their investments. At this point, Efficient Market hypothesis contradicts with the calendar anomalies. One of the most important innovation and technological development in the financial markets is the introduction of Bitcoin. Bitcoin and blockchain sector was introduced in 2008 as a peer-to-peer cash system (Nakamoto, 2008). Since the introduction of first cryptocurrency, which is Bitcoin, number of cryptocurrencies in the financial markets has risen rapidly. Investors’ awareness of cryptocurrencies has also increased and these instruments have a rising share in both the individual and institutional investors’ portfolios. There are many studies regarding the calendar anomalies for different time periods and different equity markets. However, due to being a new financial instrument, the literature that analyses the calendar anomalies in the cryptocurrency market is limited. This study aims to fill the gap in literature with an empirical analysis that focuses on the turn of the month effect and day of the month effect in cryptocurrency market for a period of January 01, 2015 and May 31, 2019. Dummy variables are used to find out the turn of the month effect and day of the month effect throughout the month. Crypto currency index (CCI30) as well as the cryptocurrencies -Bitcoin and Litecoin are investigated for the empirical analysis. Findings of the empirical analysis prove the positive significance of turn of the month effect in Crypto Currencies Index (CCI 30) and Litecoin for 10 % level. Coefficient for the Bitcoin is also positive but not statistically significant. Although turn of the month effect is present for Crypto Currencies Index, day of the month effect is not present.

KRİPTO PARALARDA TAKVİM ANOMALİLERİ

Etkin Piyasa Hipotezi'ne göre, piyasalar tüm mevcut bilgileri yatırımcılara yansıtmaktadır. Bu sebeple, yatırımcıların yatırımlarından anormal getiri elde etme şansları yoktur. Bu noktada, Etkin Piyasa Hipotezi, takvim anomalileriyle çelişmektedir. Finansal piyasalardaki en önemli yeniliklerden ve teknolojik gelişmelerden biri Bitcoin'in alımsatımının başlamasıdır. Bitcoin ve blockchain sektörü 2008 yılında tanıtıldı (Nakamoto, 2008). İlk kripto para birimi olan Bitcoin’in piyasaya sunulmasından bu yana finansal piyasalardaki kripto paraların sayısı hızla artmıştır. Yatırımcıların kripto paralar konusundaki farkındalığı da artmış ve bu finansal araçların hem bireysel hem de kurumsal yatırımcı portföylerindeki payı artmaktadır. Takvim anomalileri ile ilgili farklı sermaye piyasalarında, farklı zaman dilimlerinde yapılan birçok çalışma bulunmaktadır. Fakat, yeni bir finansal araç olması nedeniyle kripto para piyasasında takvim anomalilerini analiz eden çalışma sayısı sınırlıdır. Bu çalışmanın amacı literatürdeki boşluğu, 1 Ocak 2015 ve 31 Mayıs 2019 dönemlerinde kripto para piyasasında ay dönümü etkisi ve ayın günü etkisini ampirik olarak analiz ederek doldurmaktadır. Ay dönümü etkisi ve ayın günü etkisi için kukla değişkenler kullanılmaktadır. Ampirik analiz için kripto para endeksi (CCI30) ve kripto paralardan Bitcoin ve Litecoin kullanılmıştır. Ampirik analizin bulguları, kripto para endeksinde (CCI 30) ve Litecoin’de ay dönümü etkisinin % 10 anlamlılık düzeyinde pozitif olduğunu kanıtlamaktadır. Bitcoin için katsayı da pozitiftir ancak istatistiksel olarak anlamlı değildir. Her ne kadar Kripto Para Endeksi (CCI) için ay dönümü etkisi mevcut olsa da ayın günü etkisi bulunmamaktadır.

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