The impact of the day of the week on the financial market: an empirical investigation on cryptocurrencies


International Journal of Quality and Reliability Management, 2024 (ESCI) identifier

  • Publication Type: Article / Article
  • Publication Date: 2024
  • Doi Number: 10.1108/ijqrm-03-2023-0092
  • Journal Name: International Journal of Quality and Reliability Management
  • Journal Indexes: Emerging Sources Citation Index (ESCI), Scopus, Periodicals Index Online, ABI/INFORM, Aerospace Database, Business Source Elite, Business Source Premier, Communication Abstracts, Educational research abstracts (ERA), Food Science & Technology Abstracts, INSPEC, Metadex, Civil Engineering Abstracts
  • Keywords: Calendar effect, Cryptocurrency market, EGARCH, Weekend effect
  • Yıldız Technical University Affiliated: Yes


Purpose: This study investigates the effect of the day of the week on the volatility of cryptocurrencies. Thus, we reveal investors' perceptions of the day of the week. Design/methodology/approach: The EGARCH model consists of the day of the week for 2019–2022 and the volatility of 11 cryptocurrencies. Findings: Empirical results show that the weekend harms cryptocurrency volatility. Also, there was positive cryptocurrency volatility at the beginning of the week. Our findings show that weekdays and weekends significantly impact cryptocurrency volatility. Besides, cryptocurrency investors are sensitive to market movements, disclosures, and regulations during the week. Holiday mode and cognitive shortcuts may cause cryptocurrency traders to remain passive on weekends. Research limitations/implications: This study has some limitations. We include 11 cryptocurrencies in the analysis by limiting cryptocurrencies according to market capitalizations. Further studies may analyze a larger sample. In addition, further studies may examine the moderator and mediator effects of other financial instruments. Practical implications: The empirical results have research, social and practical conclusions from different aspects. Our analysis may contribute to determining trading strategies, risk management, market efficiency, regulatory oversight, and investment decisions in the cryptocurrency market. Originality/value: The calendar effect in financial markets has extensive literature. However, cryptocurrencies' weekday and weekend effect needs to be adequately analyzed. Besides, studies analyzing cryptocurrency volatility are limited. We contribute to the literature by investigating the impact of days of the week on cryptocurrency volatility with a large sample and current data.