A generalised seasonality test and applications for cryptocurrency and stock market seasonality

Shanaev, Savva and Ghimire, Binam (2022) A generalised seasonality test and applications for cryptocurrency and stock market seasonality. The Quarterly Review of Economics and Finance, 86. pp. 172-185. ISSN 1062-9769

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Official URL: https://doi.org/10.1016/j.qref.2022.07.002

Abstract

This study develops a novel generalised seasonality test that utilises sequential dummy variable regressions for seasonality periodicity equal to prime numbers. It allows to test for existence of any seasonal patterns against the broad null hypothesis of no seasonality and to isolate most prominent seasonal cycles while using harmonic mean p-values to control for multiple testing. The proposed test has numerous applications in time series analysis. As an example, it is applied to identify seasonal patterns in 76 national stock markets and 772 cryptocurrency markets to detect trading cycles, determine their length, and test the weak-form efficient market hypothesis. Cryptocurrency markets are shown to be less efficient than national stock markets, with predominantly irregular seasonality periodicity that cannot be reduced to conventional weekly, monthly, or annual cycles.

Item Type: Article
Uncontrolled Keywords: cryptocurrency market efficiency, seasonality, seasonality test
Subjects: N100 Business studies
N300 Finance
Department: Faculties > Business and Law > Newcastle Business School
Depositing User: John Coen
Date Deposited: 02 Aug 2022 11:27
Last Modified: 20 Jul 2024 03:30
URI: https://nrl.northumbria.ac.uk/id/eprint/49678

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