Conference Agenda

This study evaluates the suitability of various event study methodologies for cryptocurrency markets, focusing on identifying the most effective statistical tests for event-induced returns and volatility across different cryptocurrency sub-samples. Through extensive analysis, we find that non-parametric tests provide more robust and reliable results, particularly in environments characterized by high volatility and non-normal return distributions. Our findings also show that larger sample sizes improve the accuracy of test results, reinforcing the effectiveness of value-weighted indices as benchmarks for large-cap cryptocurrencies. However, these indices demonstrate limitations when applied to smaller or highly volatile cryptocurrencies. This research enhances the adaptability of event study methodologies to the dynamic nature of cryptocurrency markets, offering broader implications for emerging and volatile financial markets.