Bitcoin returns and the Monday effect

Abstract

This paper examines whether the well-known Monday Effect found in stock and Treasury Bills markets also occurs in the Bitcoin market, which differs markedly from other markets due to its continuous trading. The findings of the paper suggest that one explanation for the Monday effect may be found in interrupted periods, as Monday trading occurs after one or more days without any trade. The paper uses a Student's t-test for a statisticially significant difference in the average daily returns of Monday as compared with other days, finding that returns are significantly higher on Mondays. This is corroborated by a regression analysis indicating that there are above average returns on Mondays.