Work detail

Seasonality in Cryptocurrency Markets

Author: Bc. Jan Mošovský
Year: 2019 - summer
Leaders: doc. PhDr. Ladislav Krištoufek Ph.D.
Consultants:
Work type: Bachelors
Language: English
Pages: 105
Awards and prizes:
Link: https://is.cuni.cz/webapps/zzp/detail/200704/
Abstract: Ten years have passed since the emergence of Bitcoin and with it cryptocurrencies as a new class of assets. Now, cryptocurrencies are not uncommon
tool of investment and subject of academic research. This thesis focuses on
investigating possible presence of weekly and monthly seasonal patterns in
cryptocurrencies, namely Bitcoin, Litecoin, Ripple, Monero, Dash, Stellar
and partly Ethereum, which are selected as representative sample. Insufficient evidence is found for the day-of-the-week effect, the January effect is
however revealed as significant by different methods in the whole sample,
with cryptocurrencies generally exhibiting higher returns towards the end
of the year and lowest from January to March. Examining probable causes
of revealed seasonality, it is found that these are not likely to be caused by
peculiar price development in 2017 and 2018, as well as the Chinese New
Year or brought to the market by proposed price drivers of Bitcoin. However, significant evidence for correlation of patterns followed by Bitcoin and
other examined cryptocurrencies is found.

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