Implications of Cryptocurrency News and Regulatory Events on United States Stock Market Dynamics: An Event Study

Abstract

This thesis investigates the impact of two cryptocurrency-centered regulation events on five major US stock indices; the S&P 500, Dow Jones Industrial Average, NASDAQ Composite, Russell Top 200 Value Index, Russell Top 200 Growth Index, and stock cohorts considered to be substitutes and complements to cryptocurrencies. The paper aims to fill a gap in existing literature regarding cross-market repercussions for cryptocurrency-based regulation events. Event study methodology is implemented to calculate and discern abnormal returns experienced by the different indices and cohorts as a result of the two regulatory events. The findings from the study yield statistically significant abnormal returns from zero, indicating that the stock market does experience abnormal returns in response to cryptocurrency events. These results have potential ramifications for investors and cryptocurrency policymakers as the paper finds clear intermarket spillover effects.