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

[img] Text
1_s2.0_S1062976922000801_main.pdf - Accepted Version
Restricted to Repository staff only until 20 July 2024.
Available under License Creative Commons Attribution Non-commercial No Derivatives 4.0.

Download (1MB) | Request a copy
Official URL: https://doi.org/10.1016/j.qref.2022.07.002


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: 02 Aug 2022 11:30
URI: http://nrl.northumbria.ac.uk/id/eprint/49678

Actions (login required)

View Item View Item


Downloads per month over past year

View more statistics