Application of Event Study Methodology in the Analysis of Cryptocurrency Returns

This study employs event study methodology to investigate the impact of various types of events on cryptocurrency market returns and volatility. The research focuses on six major cryptocurrencies—ETH, BTC, BNB, XRP, DOGE, and TRX—over the period from December 31, 2017, to October 30, 2023. Six types of events are analyzed: cybersecurity events, block reward adjustment events, political conflict events, public health emergency events, cryptocurrency recognition and support events, and social media sentiment events. The findings reveal that cybersecurity and block reward adjustment events have minimal and short-lived impacts on market returns. Political conflict events cause significant short-term return volatility depending on market expectations. Public health emergency events, such as the COVID-19 pandemic, have significant and lasting negative impacts on market returns. Cryptocurrency recognition and support events have significant and sustained positive impacts on market returns. Social media sentiment events have significant but short-lived impacts on market returns. The robustness of the results was validated through the analysis of abnormal returns during the event period. This study provides valuable insights for investors and policymakers in managing market volatility.

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Publication Details

Journal
Emerging Markets Finance and Trade
Published
2024-09-16
DOI
https://doi.org/10.1080/1540496x.2024.2404173
Citations
12
Primary Topic
Market Dynamics and Volatility
Type
article
Field-Weighted Citation Impact
13.55
Controls
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article

Application of Event Study Methodology in the Analysis of Cryptocurrency Returns

Fan Zhou
12 citations
Emerging Markets Finance and Trade
Market Dynamics and Volatility
13.55
article

Application of Event Study Methodology in the Analysis of Cryptocurrency Returns

Fan Zhou
article en
12 citations

Abstract

This study employs event study methodology to investigate the impact of various types of events on cryptocurrency market returns and volatility. The research focuses on six major cryptocurrencies—ETH, BTC, BNB, XRP, DOGE, and TRX—over the period from December 31, 2017, to October 30, 2023. Six types of events are analyzed: cybersecurity events, block reward adjustment events, political conflict events, public health emergency events, cryptocurrency recognition and support events, and social media sentiment events. The findings reveal that cybersecurity and block reward adjustment events have minimal and short-lived impacts on market returns. Political conflict events cause significant short-term return volatility depending on market expectations. Public health emergency events, such as the COVID-19 pandemic, have significant and lasting negative impacts on market returns. Cryptocurrency recognition and support events have significant and sustained positive impacts on market returns. Social media sentiment events have significant but short-lived impacts on market returns. The robustness of the results was validated through the analysis of abnormal returns during the event period. This study provides valuable insights for investors and policymakers in managing market volatility.

Emerging Markets Finance and TradeVol. 61(4)
Nanjing University of Finance and Economics (CN)
Zero hunger
Openalex Percentile: Top 2%
Market Dynamics and Volatility
13.55
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