Calendar anomalies in DeFi assets and their competitive implications
Načítavam...
Na stiahnutie
Dátum
2025
Názov časopisu
ISSN časopisu
Názov zväzku
Vydavateľ
Univerzita Tomáše Bati ve Zlíně
ISBN
ISSN
1804-171X
1804-1728
1804-1728
Abstrakt
This paper investigates the presence, characteristics, and potential competitive implications of calendar anomalies within the decentralized finance (DeFi) sector, an area largely overlooked in existing financial literature. Previous research has predominantly focused on bitcoin or other cryptocurrencies selected purely based on market capitalization. In contrast, this article uniquely examines a specific sector within the cryptocurrency market, analyzing five leading DeFi assets by market capitalization, namely LINK, AAVE, MKR, SNX, and UNI, using daily data spanning November 2017 to November 2023 and estimating a GJR-GARCH model to assess day-of-the-week (DoW), month-of-the-year (MoY), and Halloween effects. The findings reveal no evidence of a consistent Halloween effect in returns or volatility. However, a strong and consistent Tuesday effect is observed in volatility, with four out of five assets exhibiting statistically significant excess volatility. A less pronounced Wednesday effect is identified in three assets, highlighting distinct volatility patterns unique to DeFi markets. The MoY analysis uncovers a pronounced January effect, with all assets except MKR exhibiting positive excess returns. This finding aligns with traditional finance yet is unprecedented within cryptocurrencies. Additionally, volatility clustering is evident, with periods of high or low volatility persisting and strongly linked to historical levels across all assets. These results enhance understanding of the competitive dynamics of DeFi markets, offering insights into how calendar anomalies influence risk, returns, and competitiveness within this rapidly evolving ecosystem.
Popis
In: Journal of Competitiveness : scientific journal from the field of management and economics. Zlín : Univerzita Tomáše Bati ve Zlíně, 2025. ISSN 1804-171X. Vol. 17, no. 3 (2025), pp. 255-290.
Kľúčové slová
kalendárne anomálie, calendar anomalies, sezónnosť, seasonality, anomálie, konkurencieschopnosť, competitiveness
Výstup z projektu
VEGA 1/0120/25 Výskum paradigiem a determinantov procesov riadenia a implementácie ESG v kontexte požadovanej finančnej výkonnosti podnikov a zmien vyplývajúcich z CSRD smernice
Citácia
Práva a licenčné podmienky
CC BY Creative Commons Attribution 4.0. International
info:eu-repo/semantics/openAccess
info:eu-repo/semantics/openAccess