The seasonal effect of Chinese New Year in cryptocurrency market

Considering the time-series data of Bitcoin for the last 7 years, we test for the existence of seasonal effect of Chinese New Year corresponding to Bitcoin`s price, return, volume and volatility. By using OLS and ARDL models we did not observe any seasonal effect except small negative movement of price (return) in the period of 30 days after the CNY period. Besides, the results show that our variables of interest exhibit high persistence, meaning that it is the persistence of BTC that determines its price, return, volume and volatility rather than some seasonal effects.