Bitcoin Return and Volatility: The Day-of-the-Week Effect

·

Understanding market behavior is crucial for investors seeking to optimize returns and manage risk—especially in highly volatile assets like Bitcoin. A 2019 study published in Research in International Business and Finance explored whether specific days of the week influence Bitcoin’s returns and volatility. Using daily data from the CoinDesk Bitcoin Price Index between January 2013 and December 2018, researchers Donglian Ma and Hisashi Tanizaki uncovered compelling evidence of a day-of-the-week effect in Bitcoin markets.

This article breaks down the study’s findings, explores their implications for traders and investors, and integrates key insights with current market dynamics. Whether you're a seasoned crypto trader or a curious observer, understanding these cyclical patterns can enhance your decision-making process.

What Is the Day-of-the-Week Effect?

The day-of-the-week effect refers to the phenomenon where asset returns and volatility levels vary systematically depending on the day of the week. In traditional financial markets, such as equities, this pattern has been widely studied—for example, the so-called "Monday effect," where stock markets tend to decline on Mondays.

In Bitcoin's case, the decentralized and 24/7 nature of trading might suggest that such calendar anomalies wouldn’t exist. However, human behavior still drives market activity—even in digital asset markets. Investor psychology, institutional trading cycles, and global market overlaps can all contribute to recurring weekly patterns.

👉 Discover how market trends unfold across different days of the week with real-time data analysis tools.

Key Findings from the Study

1. Returns Vary by Day and Sampling Period

The study found that Bitcoin’s daily returns exhibit significant variation depending on the day of the week, though these patterns are sensitive to the chosen sampling period. This means that while certain days may show higher average returns over one timeframe, those results aren’t always consistent across longer or shorter periods.

For instance:

However, the researchers emphasized that return patterns are not stable over time, suggesting that traders should avoid relying solely on historical day-based trends without adjusting for broader market conditions.

2. Volatility Peaks on Mondays and Thursdays

One of the most robust findings was the increased volatility observed on Mondays and Thursdays. This implies that price swings—both upward and downward—are more pronounced on these two days compared to others.

Importantly, the high average returns seen on Mondays appear to be a response to heightened volatility, rather than a consistent upward trend. In other words, while Monday might offer higher gains on average, it also carries greater risk due to increased price instability.

This insight aligns with behavioral finance principles: after weekend trading (when news accumulates but volume is lower), markets often experience a “catch-up” reaction when liquidity returns on Monday.

3. Persistence Despite External Market Influences

Even after controlling for external financial market movements—including:

…the day-of-the-week effect in Bitcoin remained statistically significant. This suggests that Bitcoin’s weekly patterns are not merely spillovers from traditional markets but may stem from internal dynamics unique to the cryptocurrency ecosystem.

These could include:

4. No Asymmetric Volatility Detected

Unlike some financial assets—where negative shocks cause larger volatility increases than positive ones (known as the leverage effect)—the study found no evidence of asymmetric volatility in Bitcoin during the sample period.

This indicates that Bitcoin’s price swings respond similarly to both good and bad news in terms of magnitude, at least regarding weekly cycles. However, this may have changed post-2018 with increased institutional participation and derivatives trading.

Why Does This Matter for Traders?

Recognizing recurring patterns in returns and volatility allows traders to:

For example, knowing that Mondays tend to be more volatile might prompt conservative traders to reduce leverage or wait for clearer price action before entering new positions.

Conversely, active traders might view Thursdays as potential momentum-building days, especially if they coincide with macroeconomic announcements or exchange-traded product flows.

👉 Access advanced trading analytics to monitor daily volatility trends in real time.

FAQ: Understanding Bitcoin's Weekly Cycles

Q: Does the day-of-the-week effect still hold true today?
A: While the original study covered data up to 2018, subsequent research has shown mixed results. Some studies confirm lingering weekly patterns, while others suggest they’ve weakened due to increased market efficiency and global adoption. Always validate historical patterns with current data.

Q: Why would Bitcoin—a 24/7 market—show weekly cycles?
A: Despite being traded around the clock, Bitcoin is still influenced by human behavior. Most trading activity correlates with business hours in major regions (Asia, Europe, North America), and investor sentiment often follows weekly rhythms tied to news cycles and economic reports.

Q: Should I base my entire strategy on the day-of-the-week effect?
A: No single factor should dominate your strategy. Use weekly patterns as one tool among many—combine them with technical indicators, on-chain metrics, and macroeconomic analysis for better accuracy.

Q: Are there specific hours when volatility spikes during high-volatility days?
A: Yes. Historically, volatility tends to increase during overlapping trading sessions (e.g., late afternoon in Asia, early morning in Europe, pre-market in the U.S.). These windows often see higher volume and faster price movements.

Q: How can I test this effect myself?
A: You can download historical Bitcoin price data from public APIs (like CoinGecko or Binance), calculate daily returns, group them by weekday, and run simple statistical tests (e.g., t-tests or ANOVA) to check for significant differences.

Q: Could regulatory changes affect these patterns?
A: Absolutely. Events like ETF approvals, tax reporting deadlines, or exchange restrictions can shift trading behavior and potentially alter or erase existing calendar anomalies over time.

Core Keywords Identified

To align with search intent and improve discoverability, the following core keywords have been naturally integrated throughout this article:

These terms reflect common queries from investors and researchers interested in behavioral patterns within digital asset markets.

👉 Explore powerful tools that help identify market anomalies and improve your trading edge.

Final Thoughts

While Bitcoin operates in a borderless, always-on environment, it remains subject to human-driven rhythms—including weekly cycles in returns and volatility. The 2019 study provides early empirical support for the existence of such patterns, particularly highlighting elevated volatility on Mondays and Thursdays and variable return performance across weekdays.

As the crypto market continues to mature—with greater institutional involvement, regulated derivatives, and improved data transparency—some of these anomalies may fade. But for now, understanding the day-of-the-week effect offers a valuable lens through which to view market behavior.

Whether you're building algorithmic models or managing a personal portfolio, incorporating time-based insights can lead to smarter decisions and better risk-adjusted outcomes.

Remember: past performance doesn’t guarantee future results—but it can inform smarter strategies.