Investigating the impact of global events on cryptocurrency performance: a big data event study approach
Efstathios Polyzos and
Layal Youssef
Journal of International Money and Finance, 2025, vol. 157, issue C
Abstract:
This paper investigates the impact of various crypto and global events from 2017 to 2023 on the performance of cryptocurrencies. We examine 47 significant events, analysing their effects on over 10,000 cryptocurrencies. Using an advanced event-study approach with big data, we analyse cumulative abnormal returns in data windows ranging from 3 to 150 days before and after these events and compute confidence intervals of the impact using the Welch t-test. We find a strong positive response of the crypto market to economic crises and negative response to political events, with the latter being driven primarily by older, established cryptocurrencies. We also find a smaller positive impact for environmental crises and a smaller negative impact for health and social crises. We compute beta coefficients for all cryptocurrencies in our sample and crypto market return indicators starting from 2013, which we provide as Supplementary data. Our work invites a reconsideration of the role of cryptocurrencies as safe havens during crisis events, demonstrating that these assets behave differently for different types of crises. Our comprehensive analysis fills a gap in the literature, offering fresh insights for investors aiming to use cryptocurrencies as hedging tools.
Keywords: Cryptocurrencies; Crises; Financial crises; Cumulative returns (search for similar items in EconPapers)
Date: 2025
References: Add references at CitEc
Citations:
Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S026156062500110X
Full text for ScienceDirect subscribers only
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:157:y:2025:i:c:s026156062500110x
DOI: 10.1016/j.jimonfin.2025.103375
Access Statistics for this article
Journal of International Money and Finance is currently edited by J. R. Lothian
More articles in Journal of International Money and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().