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Li, Zhenghui; Chen, Liming; Dong, Hao
International review of economics & finance, 05/2021, Volume: 73Journal Article
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. •This paper firstly identifies the Bitcoin-related events based on the change points analysis and divided these events into two categories.•We further explore the Bitcoin price reactions to Bitcoin-related events.•Bitcoin-related events, views as a real change of Bitcoin return, are very frequent in the year 2013 or 2017.•The shock directions of Bitcoin-related events on Bitcoin price are heavily correlative with types of events.•The role of Bitcoin-related events information in influencing market reactions are significant and heterogeneous.
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