Month of the year effect in the cryptocurrency market and portfolio management

  • Alex Plastun Sumy State University
  • Anna Oleksandrivna Drofa Sumy State University
  • Tetyana Viktorivna Klyushnik Sumy State University
Keywords: Calendar Anomalies, seasonal effects, Efficient Market Hypothesis, Cryptocurrency, Bitcoin


Purpose – to investigate the Month of the year effect in the cryptocurrency market.

Design/Method/Research Approach. A number of parametric and non-parametric technics are used, including average analysis, Student's t-test, ANOVA, Kruskal-Wallis statistic test, and regression analysis with the use of dummy variables.

Findings. In general (case of overall testing – when all data is analyzed at once) calendar the Month of the Year Effect is not present in the cryptocurrency market. But results of separate testing (data from the period “suspicious for being anomaly” with all the rest of the data, except the values which belong to the “anomaly data set”) shows that July and August returns are much lower than returns on other months. These are the worst months to buy Bitcoins.

Theoretical implications. Results of this paper claim to find some holes in the efficiency of the cryptocurrency market, which can be exploited. This contradicts the Efficient Market Hypothesis.

Practical implications. Results of this paper claim to find some holes in the efficiency of the cryptocurrency market, which can be exploited. This provides opportunities for effective portfolio management in the cryptocurrency market.

Originality/Value. This paper is the first to explore Month of the Year Effect in the cryptocurrency market.


Paper type – empirical.


Authors gratefully acknowledge financial support from the Ministry of Education and Science of Ukraine (0117U003936).


Download data is not yet available.


Aalborg, H. A., Molnár, P., & de Vries, J. E. (2019). What can explain the price, volatility and trading volume of Bitcoin? Finance Research Letters, 29, 255–265. doi:10.1016/
Ali Ahmed, H. J., & Haque, Z. (2009). The day of the week, turn of the month and January effect on stock market volatility and volume: evidence from Bursa Malaysia. SSRN Electronic Journal. doi:10.2139/ssrn.1460374.
Alshimmiri, T. (2011). Calendar anomalies in Kuwait Stock Exchange: anomalous evidence. Journal of Business & Economics Research (JBER), 2(1), 37-50. doi:10.19030/jber.v2i1.2846.
Bildik, R. (2004). Are calendar anomalies still alive?: Evidence from Istanbul Stock Exchange. SSRN Electronic Journal. doi:10.2139/ssrn.598904.
Borowski, K. (2015). Analysis of Selected seasonality effects in market of rubber future contracts quoted on Tokyo Commodity Exchange. International Journal of Economics and Finance, 7(9), 16-30. doi:10.5539/ijef.v7n9p15.
Caporale, G. M., & Plastun, A. (2017). Calendar anomalies in the Ukrainian stock market. Investment Management and Financial Innovations, 14(1), 104–114. doi:10.21511/imfi.14(1).2017.11.
Caporale, G. M., & Plastun, A. (2018). The day of the week effect in the cryptocurrency market. Finance Research Letters. doi:10.1016/
Caporale, G. M., & Plastun, A. (2019). Price overreactions in the cryptocurrency market. Journal of Economic Studies, 46(5), 1137–1155. doi:10.1108/jes-09-2018-0310.
Cheung, A. (W.-K.), Roca, E., & Su, J.-J. (2015). Crypto-currency bubbles: an application of the Phillips–Shi–Yu (2013) methodology on Mt. Gox bitcoin prices. Applied Economics, 47(23), 2348–2358. doi:10.1080/00036846.2015.1005827.
Chevapatrakul, T., & Mascia, D. V. (2019). Detecting overreaction in the Bitcoin market: A quantile autoregression approach. Finance Research Letters, 30, 371–377. doi:10.1016/
CoinMarketCaphttps. (2019). CoinMarketCaphttps. Retrieved from:
Compton, W., A. Kunkel, R., & Kuhlemeyer, G. (2013). Calendar anomalies in Russian stocks and bonds. Managerial Finance, 39(12), 1138–1154. doi:10.1108/mf-03-2013-0067.
Cross, F. (1973). The behavior of stock prices on Fridays and Mondays. Financial Analysts Journal, 29(6), 67–69. doi:10.2469/faj.v29.n6.67.
Fama, E.F. (1965). The behavior of stock-market prices. The Journal of Business, 38(1), 34–105. doi:10.1086/294743.
Fields, M.J. (1931). Stock prices: a problem in verification. Journal of Business of the University of Chicago, 4(4), 415–418. doi:10.1086/232221.
French, K.R. (1980). Stock returns and the weekend effect. Journal of Financial Economics, 8(1), 55–69. doi:10.1016/0304-405x(80)90021-5.
Giovanis, E. (2008). Calendar anomalies in Athens exchange stock market - an application of GARCH models and the neural network radial basis function. SSRN Electronic Journal. doi:10.2139/ssrn.1264970.
Gultekin, M.N., & Gultekin, N.B. (1983). Stock market seasonality: international evidence. Journal of Financial Economics, 12(4), 469–481. doi:10.1016/0304-405x(83)90044-2.
Jensen, M.C. (1978). Some anomalous evidence regarding market efficiency. Journal of Financial Economics, 6(2-3), 95–101. doi:10.1016/0304-405x(78)90025-9.
Kurihara, Y., & Fukushima, A. (2017). The market efficiency of Bitcoin: a weekly anomaly perspective. Journal of Applied Finance & Banking, 7(3), 57-64.
Lakonishok, J., & Smidt, S. (1988). Are seasonal anomalies real? A ninety-year perspective. The Review of Financial Studies, 1(4), 403–425. doi:10.1093/rfs/1.4.403.
Mynhardt, R.H., & Plastun, A. (2013). The overreaction hypothesis: the case of Ukrainian stock market. Corporate Ownership and Control, 11(1), 406–423. doi:10.22495/cocv11i1c4art5.
Plastun, A., Sibande, X., Gupta, R., & Wohar, M.E. (2019). Rise and fall of calendar anomalies over a century. The North American Journal of Economics and Finance, 49, 181–205. doi:10.1016/j.najef.2019.04.011.
Rozeff, M.S., & Kinney, W.R. (1976). Capital market seasonality: The case of stock returns. Journal of Financial Economics, 3(4), 379–402. doi:10.1016/0304-405x(76)90028-3.
Seif, M., Docherty, P., & Shamsuddin, A. (2017). Seasonal anomalies in advanced emerging stock markets. The Quarterly Review of Economics and Finance, 66, 169–181. doi:10.1016/j.qref.2017.02.009.
Silva, P. (2010). Calendar “anomalies” in the Portuguese stock market. Investment Analysts Journal, 39(71), 37–50. doi:10.1080/10293523.2010.11082518.
Stoica, O., & Diaconașu, D. (2011, July 1-3). An examination of the calendar anomalies on emerging Central and Eastern European stock markets. Paper presented at the 3rd World Multiconference on Applied Economics, Business and Developmen: Recent Researches in Applied Economics, Romania, Iasi: WSEAS Press.
Tangjitprom, N. (2011). The calendar anomalies of stock return in Thailand. Journal Of Modern Accounting & Auditing, 7(6), 565-577.
Urquhart, A. (2016). The inefficiency of Bitcoin. Economics Letters, 148, 80–82. doi:10.1016/j.econlet.2016.09.019.
Wachtel, S.B. (1942). Certain observations on seasonal movements in stock prices. Journal of Business of the University of Chicago, 15(2), 184–193. doi:10.1086/232617.
Wilson, J.W., & Jones, C.P. (1993). Comparison of seasonal anomalies across major equity markets: a note. The Financial Review, 28(1), 107–115. doi:10.1111/j.1540-6288.1993.tb01340.x.
Wong, W.-K., Agarwal, A., & Wong, N.-T. (2006). The disappearing calendar anomalies in the Singapore stock market. The LAHORE Journal of Economics, 11(2), 123–139. doi:10.35536/lje.2006.v11.i2.a7.
Zhang, C.Y., & Jacobsen, B. (2012). Are monthly seasonals real? A three century perspective. Review of Finance, 17(5), 1743–1785. doi:10.1093/rof/rfs035.
How to Cite
Plastun, A., Drofa, A., & Klyushnik, T. (2019). Month of the year effect in the cryptocurrency market and portfolio management. European Journal of Management Issues, 27(1-2), 29-35.