The Impact Of The Bitcoin Halving On Bitcoin Price Returns And Volatility
Keywords:
Bitcoin halving; event study; abnormal returns; volatility; GARCH; supply shockAbstract
The Bitcoin halving, which cuts the reward for mining a block by half roughly every four years, is widely believed to drive Bitcoin into a bull market. This study examines the impact of the four halvings of 2012, 2016, 2020, and 2024 on Bitcoin returns and volatility using daily data from 2 January 2011 to 30 June 2026. Returns are analyzed with an event study of cumulative abnormal returns, buy and hold returns up to 18 months, and a placebo test based on randomly chosen pseudo halving dates; volatility is analyzed with realized volatility, Brown and Forsythe tests, and a GARCH(1,1) model with halving dummies in the mean and variance equations. The results show no significant abnormal return in the 30 days around the halving, which is consistent with the halving being a fully anticipated event. Over longer horizons, however, the average cumulative abnormal return reaches 66.2% after 180 days and 86.3% after one year, both significant and above the 95th percentile of the placebo distribution. The effect is driven mainly by the earlier halvings and is close to zero for the 2024 halving, suggesting that it is diminishing as the supply reduction shrinks relative to the existing stock and demand factors gain importance. Volatility rises moderately in the 90 days after the halving, but the change is not significant for most individual events. With only four events, the findings should be interpreted with caution and do not justify treating the halving as a reliable trading signal.
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