I am doing an event study for my masters thesis in Finance. I am investigating whether the correlation between Bitcoin and other currencies gets bigger or smaller after Bitcoin price shocks.
I know it is not normal to do an event study with something else than returns but I thought it was a cool idea when i made my thesis proposal. The problem I am experiencing is that my output makes sense but is hard to read and i do not know how to do a significance test.
Instead of daily return data i did a 90 day rolling correlation so i can get daily data.
for events i chose multiple event days which are actually the days with the highest return in one day, whether positive or negative.
I dont know what to do for my benchmark.
Id really appreciate any help
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