The reaction of the financial market to the January 6 United States Capitol attack: An intraday study

John Stephens, Seyed Mehdian, Ştefan Gherghina and Ovidiu Stoica

Finance Research Letters, 2023, vol. 56, issue C

Abstract: This paper investigates the impact of the January 6 United States Capitol attack on financial markets. Minute-by-minute prices of Bitcoin, the Dow Jones Industrial Average Index, S&P 500 and the Nasdaq 100 index are used. Following the traditional event study approach, we document that the cumulative abnormal returns of Bitcoin drop after the attack while market indices rise following the event. These findings indicate that the Bitcoin market is marginally more efficient, but not statistically significant, after the attack than the financial markets.

Keywords: Financial markets; Intraday study; Event study (search for similar items in EconPapers)
JEL-codes: G10 G14 G15 H56 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323004208

DOI: 10.1016/j.frl.2023.104048

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