Cryptocurrency Market Shocks: How Major News Events Reshape Risk-Return Dynamics in Bitcoin and Ethereum

This dataset accompanies the study "Cryptocurrency Market Shocks: How Major News Events Reshape Risk-Return Dynamics in Bitcoin and Ethereum." The analysis investigates the impact of 42 major news events — including banking failures, regulatory interventions, and cybersecurity breaches — on the risk-return dynamics of Bitcoin and Ethereum. We employ a robust event study methodology, with the CAPM model as the baseline for estimating abnormal returns and changes in systematic risk. In addition, we include the rolling average model and Fama-French 3-, 4-, and 5-factor models as robustness checks. The uploaded files include all the return data, factor values, and EViews analysis files used in the risk and abnormal return estimations. This dataset is designed to support the replication and further exploration of cryptocurrency market behavior following major economic and regulatory events.