Crisis-Driven Calendar Anomalies: Day-of-the-Week Effects in Bitcoin and Ethereum Returns During Global Conflicts (2019–2024)
- Ruchita Verma
- Dhanraj Sharma
- Murad Baqis Hasan
- and Pranav Raghavan
- ( paper pages. 491-510 )
Abstract
This study attempt to investigate the Day-of-the-Week
(DOW) effect on the returns of cryptocurrency, with a major focus the Bitcoin
and Ethereum, during three major global crises viz., the COVID-19 pandemic, the
Russia-Ukraine conflict, and the Palestine-Israel war. With the application of GARCH
(1,1) models with day-dummy variables on the daily price data from December
2019 to January 2024, it also examine the temporal return patterns across
weekdays. The findings reveal that although the magnitude and significance vary
across crises, yet there is presence of consistent DOW effect, with Bitcoin and
Ethereum unveiling elevated returns on specific weekdays, particularly at the
beginning and mid of the week. During COVID-19 pandemic, both the cryptocurrencies
shows significant positive returns on Mondays and Wednesdays, reflect the delicate
market sensitivity and investors’ activity amid global uncertainty. During
Russia-Ukraine conflict, the Bitcoin exhibit the gains during mid-week, while
Ethereum shows the limited effects. Likewise, during the Palestine-Israel
conflict, Bitcoin shows the significantly higher returns on Monday and
Wednesday on the other hand the Ethereum shows the moderate effects. These findings
indicate that external shocks and crisis have impact on the temporal return
patterns, which challenge the efficient market hypothesis. It also shows that the
return in the Bitcoin is more consistently influenced by DOW patterns than
Ethereum across crises, proposing strategic and tactical insights for investors
to leverage weekday effects
Citation
Ruchita Verma, Dhanraj Sharma, Murad Baqis Hasan, and Pranav Raghavan.
2025.
"Crisis-Driven Calendar Anomalies: Day-of-the-Week Effects in Bitcoin and Ethereum Returns During Global Conflicts (2019–2024)"
The Nigerian Journal of Economic and Social Studies,
67 (3): 491-510.
