Calendar anomalies in DeFi assets and their competitive implications

Stránka jednoduchej položky
dc.contributor.authorRech, Frederik
dc.contributor.authorMeng, Fanchen
dc.contributor.authorMusa, Hussam
dc.contributor.authorCyrus, Isaboke
dc.contributor.authorSyed Tauseef, Ali
dc.date.accessioned2025-12-19T10:49:22Z
dc.date.available2025-12-19T10:49:22Z
dc.date.issued2025
dc.descriptionIn: 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.
dc.description.abstractThis 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.
dc.description.sponsorshipVEGA 1/0120/25 Výskum paradigiem a determinantov procesov riadenia a implementácie ESG v kontexte požadovanej finančnej výkonnosti podnikov a zmien vyplývajúcich z CSRD smernice
dc.identifier.doihttps://doi.org/10.7441/joc.2025.03.10
dc.identifier.issn1804-171X
dc.identifier.issn1804-1728
dc.identifier.urihttps://www.cjournal.cz/index.php?hid=clanek&bid=archiv&cid=599&cp=
dc.identifier.urihttps://repo.umb.sk/handle/123456789/1169
dc.language.isoen
dc.publisherUniverzita Tomáše Bati ve Zlíně
dc.rightsCC BY Creative Commons Attribution 4.0. International
dc.rightsinfo:eu-repo/semantics/openAccess
dc.rights.urihttps://creativecommons.org/licenses/by/4.0/
dc.subjectkalendárne anomálie
dc.subjectcalendar anomalies
dc.subjectsezónnosť
dc.subjectseasonality
dc.subjectanomálie
dc.subjectkonkurencieschopnosť
dc.subjectcompetitiveness
dc.titleCalendar anomalies in DeFi assets and their competitive implications
dc.typeArticle
dc.typeinfo:eu-repo/semantics/article

Na stiahnutie

Pôvodný balík
Teraz sa zobrazuje 1 - 1 z 1
Obrázok miniatúry
Veľkosť:
1.07 MB
Formát:
Adobe Portable Document Format
Stiahnuť

Kolekcie

08 Články v časopisoch