Seasonal and Calendar Effects and the Price Efficiency of Cryptocurrencies

Mahmoud Qadan, David Y. Aharon, Ron Eichel

Research output: Contribution to journalArticlepeer-review


We investigate the pricing efficiency of numerous popular cryptocurrencies using a wide range of non-economic events that include calendar anomalies, natural condition-based anomalies, holidays when US exchanges are closed and secular and ethnic holidays when exchanges are open - all documented in the finance literature regarding equities. We document the existence of very few similar effects in the examined cryptocurrencies. Generally, anomalies found in Bitcoin do not hold for other cryptocurrencies and vice versa. The within-the-month effect is the only effect common to all cryptocurrencies. Our results have implications for efficient asset pricing and diversification benefits for these currencies.

Original languageEnglish
Article number102354
JournalFinance Research Letters
StatePublished - May 2022

Bibliographical note

Publisher Copyright:
© 2021


  • Bitcoin
  • Calendar anomalies
  • Cryptocurrency
  • Ethereum
  • Pricing efficiency

ASJC Scopus subject areas

  • Finance


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