Is Bitcoin really a currency? A viewpoint of a stochastic volatility model

Using an asymmetric stochastic volatility model, this study investigates the day-of-the-week and holiday effects on returns of Bitcoin from 1 January 2013 to 31 August 2019; in context, we also discuss characteristics as a financial asset. The results estimation are threefold. First, finding shows small day-of-the week effect Saturday Sunday than rest week. Second, although examined active trading countries, namely Japan, China, Germany, United States, positive post-holiday weak pre-holiday only observed States. Finally, asymmetry is not observed. A comparison several assets such stock, currency, gold Bitcoin’s positioning between relation effects, its reaction federal funds medium exchange characteristics, lack effect.