Examining Day of the Week and Month of the Year Effects in Bitcoin and Litecoin Markets

Cryptocurrency technology works on a network that allows people to make payment all over the world without need of any intermediary. Since the development of this technology, it has received much attention and price of cryptocurrencies has been increasing rapidly and become very volatile. This paper examines the day of the week and month of the year effects in Bitcoin and Litecoin markets using GARCH (1,1) model. The sample period is from May 1, 2013 to December 21, 2016. Results indicate significant presence of the day of the week and month of the year effects in Bitcoin and Litecoin returns. It is determined that Monday, Tuesday and Friday have significant positive effects on Bitcoin and negative Saturday effect on Litecoin returns. Also February, October and November have significant and positive effect on Bitcoin, significant and negative August effect on Litecoin returns in terms of month of the year effect