That’s probably not the most practical because the number of events per month could vary significantly, which would have a huge effect on how long the list is when you jump from month to month.
I would suggest trying the pagination
option. It lets you say how many events you want to display per “page” and then adds previous/next links to step through the pages, but since it puts the same number of events on each page, it doesn’t run the risk of blowing up your overall page layout the way a month-by-month list would.