Does the turn-of-the-month effect work in bitcoin?
Not reliably, and not since 2024. From September 2017 to October 2026 bitcoin and ether did better on the last day and first three days of each month than in other four-day windows (+0.19% and +0.35% a day), but the premium came entirely from the years before 2024 and has been negative since the spot ETF launch. Holding only at the turn of the month lost to buy-and-hold in 2024–2026.
The claim
The turn-of-the-month effect is an old stock-market anomaly: returns on the last trading day of a month and the first three of the next are higher than on other days, usually explained by pay-day inflows and fund rebalancing. Kumar finds a significant effect in bitcoin over the full sample, stronger during COVID, and a turn-of-the-month-only strategy that beats buy-and-hold; a companion study by Kumar and Pathak reports that the effect in ether weakened during COVID. Both rely on regressions with autocorrelation-robust errors.
What we tested
BTC and ETH spot, daily, September 2017 to October 2026, with the same four-day window. Rather than compare the window with all other days, we compared it with randomly placed four-day windows inside the same months, which controls for trends and clusters of volatility. We split the sample into three eras and tested the strategy that holds only during the window against buy-and-hold, with trading costs.
Result
Over the whole period the window beat other four-day windows by 0.19% a day for bitcoin and 0.35% for ether. Neither gap is reliable once both coins are tested, though ether comes close, and the era split explains why: the premium was large in 2017–2019, small for bitcoin in 2020–2023 and negative for both after January 2024. In 2024–2026 the strategy’s net Sharpe ratio was −0.58 for bitcoin and −0.89 for ether, against +0.36 and −0.09 for buy-and-hold. Contrary to the ether study, ether’s premium was at its largest during COVID.
Turn-of-the-month window minus other four-day windows, per day
| Period | BTC | ETH |
|---|---|---|
| 2017–2019 | +0.92% | +0.70% |
| 2020–2023 | +0.08% | +0.73% |
| 2024–2026 (spot ETF era) | −0.27% | −0.50% |
| Whole period | +0.19% | +0.35% |
| Strategy net Sharpe, 2024–2026 (buy-and-hold) | −0.58 (+0.36) | −0.89 (−0.09) |
What it means
The effect looks like a feature of crypto’s earlier, thinner market rather than a durable anomaly. A calendar rule fitted on 2017–2023 would have concentrated exposure in a window that underperformed the rest of the month in 2024–2026.
What would change the verdict
The cleaner test is the mechanism, not the calendar: month-end fund rebalancing and futures rolls happen on known dates and in known hours. For reference, gold shows a small but steady turn-of-the-month premium since 2010 — real, and too small to trade.
This note re-tests a claim made by the cited authors on our own crypto market data; the summary of their method is ours. Tested · published · last reviewed . Research, not investment advice.