Keywords
Weekend effect
Day-of-the-week
Volatility
Trading volume
HAC
Cryptocurrency
Submitted : 2025-09-03
Accepted : 2025-09-18
Published : 2025-10-03
Abstract
Using daily BTC-USD data from September 19, 2014 to January 21, 2024, this paper re-examines whether weekends differ from weekdays for Bitcoin along three margins: average returns, close-to-close volatility, and trading activity. We implement Welch mean comparisons and HAC-robust OLS with month fixed effects (bandwidths 5, 7, and 14). In the full sample and across subsamples (2016–2019; 2020–2023; early 2024), we find no detectable weekend–weekday gap in average returns, while volatility and trading activity are lower on weekends. The patterns are robust to using squared returns as a volatility proxy. The joint evidence is consistent with liquidity and attention mechanisms—quieter weekends rather than compensating return premia. Replication files reproduce all tables and figures.
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