Yuki Kishi
Yuki Kishi

Bridging Asia and Europe: Japan’s Next-Generation FinTech Ecosystem & Cross-Border Collaboration Opportunities

Bridging Asia and Europe: Japan’s Next-Generation FinTech Ecosystem & Cross-Border Collaboration Opportunities

26/08/2025

15:00

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15:30

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.

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.

Antonio Gargano
Keynote: "Lessons from fintech-academic collaborations"
25-27 August 2025

25/08/2025

Antonio Gargano

Keynote
Antonio Gargano
Keynote: "Lessons from fintech-academic collaborations"
25-27 August 2025

25/08/2025

Antonio Gargano

Keynote
Emilia Bunea
Keynote: "Leadership for finance professionals: A CEO-turned-leadership-scholar perspective"
25-27 August 2025

25/08/2025

Emilia Bunea

Keynote
Emilia Bunea
Keynote: "Leadership for finance professionals: A CEO-turned-leadership-scholar perspective"
25-27 August 2025

25/08/2025

Emilia Bunea

Keynote
Allan Mendelowitz
Keynote: "The promise of digital finance: Greater transparency, enhanced efficiency, and more effective and less burdensome regulation"
25-27 August 2025

26/08/2025

Allan Mendelowitz

Keynote
Allan Mendelowitz
Keynote: "The promise of digital finance: Greater transparency, enhanced efficiency, and more effective and less burdensome regulation"
25-27 August 2025

26/08/2025

Allan Mendelowitz

Keynote
Albert Menkveld
Keynote: "What we can learn today about the markets of tomorrow: Crypto, crashes and credible research"
25-27 August 2025

27/08/2025

Albert Menkveld

Keynote
Albert Menkveld
Keynote: "What we can learn today about the markets of tomorrow: Crypto, crashes and credible research"
25-27 August 2025

27/08/2025

Albert Menkveld

Keynote