Turn-of-The-Candle Effect in Bitcoin Returns

This study discovers a statistically and economically significant intraday anomaly on Bitcoin markets. Positive returns of 0.58 bps per minute are disproportionately concentrated at the turn of 15-minute candles (in minutes 0, 15, 30, and 45 of each trading hour). Average returns in other trading minutes are negative. The effect is consistent across exchanges, in quantile and TGARCH-M estimations with heavy tails. A high-frequency strategy exploiting this “turn-of-the-candle” effect can be net-outperforming with initial investment as low as $5,000. The anomaly is detected starting from mid-to-late 2020, and its discovery contributes significantly to the understanding of cryptocurrency adaptive market efficiency