Anomali Pasar Cryptocurrency: Analisis Return Cyptocurrency dan Day of The Week Effect

Abstract

This study aims to detect the anomaly of the day of the week effect on the Cyptocurrency market using several statistical approaches including average analysis, student t-test, ANOVA, Kruskal-Wallis test and regression analysis using dummy variables. The data used are 5 cryptocurrency coins with the largest market capitalization, namely Bitcoin, Ethereum, Binance Coin, Cardano and XRP in the 2018-2020 period. The initial assumption was that the market for cryptocurrency assets was relatively inefficient due to the emerging market. Furthermore, related to market efficiency and the high volatility of this investment instrument, it is suspected that there are anomalies on certain trading days in the cryptocurrency market. As for the results of this study, there are differences in market reactions to the anomaly of the day of the week effect on the 5th market of Cyptocurrency coins. Bitcoin and XRP do not give an indication of the difference in returns during the trading day, in other words, there is no anomaly in the day of the week effect. While the Ethereum coin, the anomaly day of the week effect only occurs on Fridays. BinanceCoin has a day of the week effect anomaly occurs on Thursday and Saturday, while Cardano occurs on Wednesday and Friday.