A cross-market comparison of the month of the year anomaly for bitcoin

According to the Efficient Markets Theory, asset prices reflect all information regarding the assets, and there should be no consistent patterns in returns based on calendar time or any other market differences. We examine if there are calendar time market anomalies in the crypto currency markets, and whether these anomalies, if any exists, vary across different markets based on the location. Specifically, we focus on Bitcoin, the largest crypto currency market, and search for the evidence regarding the month of the year effect anomaly in the Bitcoin markets during the period of 2015-2018. To see if market characteristics change based on the location, we compare the presence and the characteristics of the month of the year anomaly among three different Bitcoin exchanges: Bitfinex, Bitstamp and Okcoin. We find a strong month of the year effect anomaly in the Bitcoin markets during the period of our study. Although the general results are similar, we find some differences with respect to the month of the year effect anomaly among the three Bitcoin exchanges considered.