THE IMPACT OF SEASONAL AFFECTIVE DISORDER ON GREEN CRYPTOCURRENCIES

Year 2023, Volume: 17 Issue: 1, 173 - 177, 30.07.2023

Zeliha Can Ergün

https://doi.org/10.17261/Pressacademia.2023.1773

Abstract

Purpose- Seasonal Affective Disorder (SAD) which arises during the winter when there are fewer daylight hours is a form of the major depressive disease. SAD affects most of the financial markets. Since there is scarce research on the relationship between SAD and cryptocurrency returns, this study is aimed to examine the impact of SAD on green cryptocurrencies. To the best of the author’s knowledge, this is the first study that investigates the relationship between SAD and the returns of green cryptocurrencies, so the study is expected to fill the gap in the related literature.
Methodology- Cardano (ADA), Tron (TRX), and Stellar (XLM) are considered for the analysis, which covers the period spanning from January 2018 to March 2023. The multiple regression model has been implemented by including dummies for autumn, Mondays, and tax-loss selling. A specific location must be specified for the latitude information to determine how many hours are spent at night. The latitude of New York City is considered for that calculation because the majority of cryptocurrency users are concentrated in the USA.
Findings- The findings demonstrate that the SAD, autumn, Monday, and tax-loss selling effects have no impact on green cryptocurrencies. Due to the worldwide spread of cryptocurrency investors, these effects are probably mitigated.
Conclusion- According to the results, arbitrageurs are unable to benefit from generating abnormal returns using seasonal return patterns. Future studies might use non-linear techniques, change the location that is considered when calculating latitude, and include more cryptocurrencies in their examinations.

Keywords

Seasonal affective disorder, cryptocurrencies, green finance, behavioral finance, anomalies

References

• Aharon, D. Y., & Qadan, M. (2019). Bitcoin and the day-of-the-week effect. Finance Research Letters, 31.
• Baur, D. G., Cahill, D., Godfrey, K., & Liu, Z. F. (2019). Bitcoin time-of-day, day-of-week and month-of-year effects in returns and trading volume. Finance Research Letters, 31, 78-92.
• Caporale, G. M., & Plastun, A. (2019). The day of the week effect in the cryptocurrency market. Finance Research Letters, 31.
• Dumrongwong, K. (2021). Calendar effects on cryptocurrencies: Not so straightforward. Southeast Asian Journal of Economics, 9(1), 1-26.
• Gerlach, J. R. (2010). Daylight and investor sentiment: A second look at two stock market behavioral anomalies. Journal of Financial Research, 33(4), 429-462.
• Kaiser, L. (2019). Seasonality in cryptocurrencies. Finance Research Letters, 31.
• Kamstra, M. J., Kramer, L. A., & Levi, M. D. (2003). Winter blues: A SAD stock market cycle. American economic review, 93(1), 324-343.
• Kelly, P. J., & Meschke, F. (2010). Sentiment and stock returns: The SAD anomaly revisited. Journal of Banking & Finance, 34(6), 1308-1326.
• Kinateder, H., & Papavassiliou, V. G. (2021). Calendar effects in bitcoin returns and volatility. Finance Research Letters, 38, 101420.
• Košt’ál, K., Krupa, T., Gembec, M., Vereš, I., Ries, M., and Kotuliak, I. (2018, September). On transition between PoW and PoS, 2018 International Symposium ELMAR, pp. 207-210.
• Lopez-Martin, C. (2022). Ramadan effect in the cryptocurrency markets. Review of Behavioral Finance, (ahead-of-print).
• Ma, D., & Tanizaki, H. (2019). The day-of-the-week effect on Bitcoin return and volatility. Research in International Business and Finance, 49, 127-136.
• Qadan, M., Aharon, D. Y., & Eichel, R. (2022). Seasonal and calendar effects and the price efficiency of cryptocurrencies. Finance Research Letters, 46, 102354.
• Raut, R. K., & Kumar, R. (2020). Psychology of Indian Stock Market: An Evidence of Seasonal Affected Disorder. Asia-Pacific Journal of Management Research and Innovation, 16(2), 146-156.
• Ren, B., and Lucey, B. (2022). A clean, green haven?—Examining the relationship between clean energy, clean and dirty cryptocurrencies, Energy Economics, 109, pp. 1-29.
• Ruan, Q., Zhang, M., Lv, D., & Yang, H. (2018). SAD and stock returns revisited: Nonlinear analysis based on MF-DCCA and Granger test. Physica A: Statistical Mechanics and its Applications, 509, 1009-1022.
• Škrinjarić, T. (2018). Testing for Seasonal Affective Disorder on selected CEE and SEE stock markets. Risks, 6(4), 140.
• Škrinjarić, T., Marasović, B., & Šego, B. (2021). Does the Croatian Stock Market Have Seasonal Affective Disorder?. Journal of Risk and Financial Management, 14(2), 89.
• Ul Haq, I., Maneengam, A., Chupradit, S., & Huo, C. (2022). Are green bonds and sustainable cryptocurrencies truly sustainable? Evidence from a wavelet coherence analysis. Economic Research-Ekonomska Istraživanja, 1-20