What are bitcoin market reactions to its-related events?

Zhenghui Li, Liming Chen and Hao Dong

International Review of Economics & Finance, 2021, vol. 73, issue C, 1-10

Abstract: Motivated by the risen linkage between events and Bitcoin return, this paper first defines Bitcoin-related events (BREs) based on the change points analysis and then divides these events into two categories. Furthermore, we model the impact of BREs on the Bitcoin market activities, using an event study methodology and a GARCH-X model. Empirical results show that the shock directions of Bitcoin-related events on Bitcoin price are heavily correlative with types of events. Additionally, there is a significant positive influence of domestic events on reaction volatility, whereas the foreign events impose their influences on both the expectations of market reactions and volatility.

Keywords: Events; Change points; Event study methodology; Investor attention; Bitcoin (search for similar items in EconPapers)
JEL-codes: C32 C51 G12 G32 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (18)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:73:y:2021:i:c:p:1-10

DOI: 10.1016/j.iref.2020.12.020

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