Measuring the effects of Bitcoin forks on selected cryptocurrencies using event study methodology

Abstract

The objective of the study is to determine whether the Bitcoin forks have produced significant effects on the cryptocurrency market. The event study methodology is used in this paper in order to determine the statistical significance of the abnormal return of leading cryptocurrencies after three Bitcoin forks. The forks were viewed as three isolated events, with the estimations windows and the event windows constructed separately for each of them. There were statistically significant negative effects related to the creation of Bitcoin Gold and Bitcoin SV. Contrary to expectations, there was no statistically important effect throught out the most famous Bitcoin forking and emergence of Bitcoin Cash. Although cryptocurrencies are a current topic, the literature lacks quantitative research dealing with price changes. Without quantitative analysis, it is difficult to conclude whether the return change is a consequence of a statistically significant event The analysis would therefore provide the tool to determine the statistical significance of their impact on the market. A small number of observed cryptocurrencies is the main limitation of 1 University of Kragujevac, Faculty of Economics, ntomic@kg.ac.rs 22 Industrija, Vol.48, No.2, 2020 this research. Future researches could cover a wider scope of the market and include other famous cases of forking, for example, the Ethereum forks.