Volatility and the Day of the Week Effect on Bitcoin Returns

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Orhan A., Emikönel M., Emikönel M.

Journal of emerging economies and policy (Online), vol.6, no.2, pp.51-58, 2021 (Peer-Reviewed Journal) identifier


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.