What are bitcoin market reactions to its-related events?

【Author】 Li, Zhenghui; Chen, Liming; Dong, Hao

【Source】INTERNATIONAL REVIEW OF ECONOMICS & FINANCE

【影响因子】3.399

【Abstract】Motivated by the risen linkage between events and Bitcoin return, this paper first defines Bitcoinrelated 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

【发表时间】2021 MAY

【收录时间】2022-01-02

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