Calendar Anomalies in Digital Assets: A Study of Major Cryptocurrencies

In the financial market, seasonality refers to systematic return patterns that recur at specific calendar intervals. It has been studied extensively in the equity space, but little work has been carried out on cryptocurrencies.

Reference [1] addresses this gap. Specifically, it examines seasonality patterns of 10 major cryptocurrencies using data from 2013 to 2024. The paper investigates the (i) Monday effect, (ii) weekend effect, (iii) January effect, and (iv) Halloween effect. The author pointed out,

Our study revisits seasonalities in crypto markets following Kaiser (2019). We do not identify robust return anomalies in the original sample, especially in more mature markets. We thereby show that the few anomalies, that count as “well-established” in prior literature, e.g., the Monday effect in BTC, do not persist in data after 2015 and should therefore be interpreted as a statistical artifact rather than an anomaly. In the cross-section of crypto currencies, the typical Monday effect, if any, appears negative. However, we find that trading activity is significantly and substantially lower at weekends and that this effect is robust across assets and time.

In brief, regarding Bitcoin, the paper concluded,

• It finds no robust or persistent seasonality in Bitcoin returns.
• The historically “well-known” positive Monday effect in Bitcoin disappears after 2015.
• January and Halloween effects are not reliable for Bitcoin—any significance is inconsistent and not stable across time windows.
• Across the full sample and the post-2018 subsample, Bitcoin shows no statistically significant calendar anomalies in returns when tested properly (including bootstrap tests).
• In the cross-section of 500 coins, the typical Monday effect is negative, aligning with equity market patterns, meaning Bitcoin’s earlier positive Monday effect was likely a statistical artifact, not a robust pattern.
• The only stable pattern the paper identifies is lower weekend trading activity.

Seasonality is an important component of trading and risk management. As the crypto market matures, it will be interesting to stay vigilant and observe how these seasonal patterns evolve, if at all. This is also suggested by the author.

Our study, rather descriptive in nature, offers some interesting findings. The entry of institutional investors could lead to increased trading during regular trading hours, thereby increasingly creating inefficiencies around the weekend. Low trading activity on the weekend could also delay the speed of reaction to news. Hence, our insights may be of interest to researchers and traders continuing to challenge the EMH in crypto markets. However, only time will tell whether the negative cross-sectional Monday effect will persist in the long term.

Let us know what you think in the comments below or in the discussion forum.

References

[1] Mueller, L. (2024). Revisiting seasonality in cryptocurrencies. Finance Research Letters, 64, 105429

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