Shockwaves in cryptocurrency markets: return and variation responses to global events

This study examines how geopolitical, regulatory, macroeconomic, and market-specific events impact cryptocurrency market returns and variation. Using an event study methodology, we analyze six major cryptocurrencies (ETH, BTC, BNB, XRP, DOGE, TRX) over 64 events from November 2023 to November 2024. The results show significant variation in market reactions: political events and security shocks lead to sharp, short-term price fluctuations, reflecting the speculative nature of cryptocurrencies, where market prices can be highly volatile and driven by investor sentiment. In contrast, regulatory actions and market infrastructure developments tend to result in more persistent variation, showcasing the resilience of cryptocurrencies, as they adapt to evolving regulatory frameworks and market conditions. This research introduces a multidimensional event classification for cryptocurrencies and provides practical insights for investors and policymakers navigating market dynamics, while highlighting avenues for future research on cross-asset heterogeneity in event sensitivity.