Monthly seasonality in Bitcoin

Seasonality and possible explanations.

Furion https://github.com/Netherdrake (Viewly One)https://viewly.one
01-03-2020

Bitcoin Monthly Seasonality

We can look at the seasonality plot to see if there are any patterns.

There seems to be some pattern in January and February, where most years in January the returns are negative, and most years in February returns are positive.

There are multiple candidate explanations:

Before we try to test our explanations, lets look at Ethereum seasonal returns:

It lools like there are no such seasonal patterns in Ethereum returns.

Spurious?

Lets run a little simulation to see how often we would get the Bitcoin seasonality pattern by chance. The generative process consists of sampling with replacement, stratified by year.

Pos Neg
8.33 1.92

Within our little simulation there is a 8% chance of all year-months having positive returns, and 2% chance of negative returns, purely by luck.

It is therefore hard to conclude that the pattern is really there. We shall see if it holds again this year.