Reevaluating Intermarket Connectedness: The Impact of Monday Return Calculations on Cryptocurrencies and Traditional Assets

Research Output

Cryptocurrencies trade continuously, unlike traditional assets limited to weekdays, creating challenges in calculating Monday returns. This paper investigates the impact of four benchmark closing prices—Friday, Saturday, Sunday, and a weekend average—on intermarket connectedness. Analyzing 72 cryptocurrencies (2018–2024) and their relation to the S&P500 using the TVPVAR model, we find significant variations in economic and statistical outcomes, influencing both the magnitude and direction of spillovers. Mixed log- and non-log-based return methods yield inconsistent results for specific cryptocurrencies like THETA, GNO, GLM, and WAVES. These findings highlight the critical importance of consistent return methodologies in cryptocurrency market analysis.

Date:

25 February 2025
Publication Status:

Published
DOI:

10.1016/j.frl.2025.107016
ISSN:

1544-6123
Funders:

Edinburgh Napier Funded

http://researchrepository.napier.ac.uk/output/4130324 Ali, F., Du, A. M., & Majeed, M. A. (2025). Reevaluating Intermarket Connectedness: The Impact of Monday Return Calculations on Cryptocurrencies and Traditional Assets. Finance Research Letters, 77, Article 107016. https://doi.org/10.1016/j.frl.2025.107016

Citation

Ali, F., Du, A. M., & Majeed, M. A. (2025). Reevaluating Intermarket Connectedness: The Impact of Monday Return Calculations on Cryptocurrencies and Traditional Assets. Finance Research Letters, 77, Article 107016. https://doi.org/10.1016/j.frl.2025.107016