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The reaction of the financial market to the January 6 United States Capitol attack: An intraday study

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  • Stephens, John
  • Mehdian, Seyed
  • Gherghina, Ștefan Cristian
  • Stoica, Ovidiu

Abstract

This paper investigates the impact of the January 6 United States Capitol attack on financial markets. Minute-by-minute prices of Bitcoin, the Dow Jones Industrial Average Index, S&P 500 and the Nasdaq 100 index are used. Following the traditional event study approach, we document that the cumulative abnormal returns of Bitcoin drop after the attack while market indices rise following the event. These findings indicate that the Bitcoin market is marginally more efficient, but not statistically significant, after the attack than the financial markets.

Suggested Citation

  • Stephens, John & Mehdian, Seyed & Gherghina, Ștefan Cristian & Stoica, Ovidiu, 2023. "The reaction of the financial market to the January 6 United States Capitol attack: An intraday study," Finance Research Letters, Elsevier, vol. 56(C).
    • Handle: RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323004208
    DOI: 10.1016/j.frl.2023.104048
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    More about this item

    Keywords

    Financial markets; Intraday study; Event study;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • H56 - Public Economics - - National Government Expenditures and Related Policies - - - National Security and War

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