Bitcoin Daily Returns: the Day-of-the-Week Effect and the Significance of Momentum and Google Trend

Abstract

In this paper, I study the day-of-the-week effect on Bitcoin returns for the period from 2011 through late 2017. Under the trading time hypothesis, returns should be the same for each day of the week. Additionally, I examine how five-day momentum and previous day change in Google trends explain Bitcoin daily returns and return differences between weekends and weekdays. The results show that daily returns are statistically positive on every weekday from Monday to Friday. On the weekends, daily returns are slightly positive, but not at a significant level. Furthermore, I find that the momentum effect is strong during the weekdays but not on the weekends, and previous day change in Google trend does not affect daily returns in a significant manner. My findings indicate that weaker weekend returns cannot be entirely explained by the momentum and Google trend interaction variables.