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

Ali, Fahad; Du, Anna Min; Majeed, Muhammad Ansar

Abstract

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.

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

• Journal Article Type: Article
• Acceptance Date: Feb 16, 2025
• Online Publication Date: Feb 25, 2025
• Publication Date: 2025-05
• Deposit Date: Mar 11, 2025
• Publicly Available Date: Mar 11, 2025
• Journal: Finance Research Letters
• Print ISSN: 1544-6123
• Publisher: Elsevier
• Peer Reviewed: Peer Reviewed
• Volume: 77
• Article Number: 107016
• DOI: https://doi.org/10.1016/j.frl.2025.107016
• Keywords: Cryptocurrency returns, Intermarket connectedness, Monday effect, TVP-VAR model, Spillover effects
• Public URL: http://researchrepository.napier.ac.uk/Output/4130324