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