Purpose

This paper examines the effect of the holy month of Ramadan on the returns and conditional volatility of cryptocurrency markets.

Design/methodology/approach

The closing prices of six cryptocurrencies have been considered. The study employs different classical tests for checking if the efficiency behaviour is similar during Ramadan celebration days and non-Ramadan days. Besides, dummy variable regression technique for assessing this anomaly on returns and volatilities has been applied.

Findings

Although no significant effect on returns and volatility for Litecoin has been found, the results provide evidence about the existence of the Ramadan effects in cryptocurrency markets. The results of the mean equations show the existence of Ramadan effect for Ethereum, Ripple, Stellar and BinanceCoin for all considered models. Significant effect on Bitcoin returns is found with an autoregressive model of order 1. The results of conditional volatility show Ramadan effect on volatility is not detected.

Originality/value

First, a new contribution in the incipient study of cryptocurrency analysis. Second, a comprehensive review of recently published empirical articles about Ramadan effect on traditional assets has been carried out. Third, unlike most of the papers focussed on the study of Bitcoin, this study has been extended to six cryptocurrencies. Ramadan effect have not been analysed in cryptomarkets yet. This study come to fill this gap and analyses Ramadan effect, previously documented for traditional assets, in particular, stock index from Muslim countries, but not yet analysed in the cryptocurrency markets.

中文翻译：

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加密货币市场的斋月效应

目的

本文研究了斋月对加密货币市场回报和条件波动的影响。

设计/方法/方法

已经考虑了六种加密货币的收盘价。该研究采用不同的经典测试来检查斋月庆祝日和非斋月期间的效率行为是否相似。此外，还应用了虚拟变量回归技术来评估这种收益和波动率的异常情况。

发现

虽然没有发现对莱特币的回报和波动性有显着影响，但结果提供了加密货币市场存在斋月效应的证据。平均方程的结果表明，对于所有考虑的模型，以太坊、瑞波币、恒星币和币安币都存在斋月效应。使用 1 阶自回归模型发现对比特币收益的显着影响。条件波动率的结果表明，没有检测到斋月对波动率的影响。

原创性/价值

首先，在加密货币分析的初期研究中的新贡献。其次，对最近发表的关于斋月对传统资产影响的实证文章进行了全面回顾。第三，与大多数专注于比特币研究的论文不同，这项研究已扩展到六种加密货币。斋月效应尚未在加密市场进行分析。本研究旨在填补这一空白并分析斋月效应，该效应以前记录在传统资产中，特别是来自穆斯林国家的股票指数，但尚未在加密货币市场进行分析。