Extreme events and Bitcoin returns: evidence from terrorist attacks and natural disasters in Western countries
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School of Business |
Bachelor's thesis
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Authors
Date
2017
Department
Major/Subject
Mcode
Degree programme
Rahoitus
Language
en
Pages
21
Series
Abstract
This study provides new evidence on the effects of terrorist attacks and natural disasters on the price of Bitcoin. I find that terrorist attacks affect positively the price of Bitcoin during event-days. This effect is most strong during periods of high general interest in Bitcoin. However, natural disasters seem to have no impact on the price of Bitcoin. I also find that macroeconomic variables have no significant impact on Bitcoin price in the short run. This finding is consistent with previous literature.Description
Thesis advisor
Shin, SeanKeywords
terrorism, Bitcoin, disaster, return, trend, asset, event-day