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.本数据集配套于研究论文《加密货币市场冲击：重大新闻事件如何重塑比特币（Bitcoin）与以太坊（Ethereum）的风险-收益动态》。 本分析考察了42起重大新闻事件——涵盖银行破产、监管干预及网络安全漏洞事件——对比特币与以太坊风险-收益动态的影响。 我们采用严谨的事件研究法，以资本资产定价模型（Capital Asset Pricing Model, CAPM）作为估算异常收益与系统性风险变化的基准模型；此外，还纳入滚动平均模型以及法马-弗伦奇三因子、四因子、五因子模型开展稳健性检验。 本次上传的文件包含了风险与异常收益估算过程中所用的全部收益数据、因子取值以及EViews分析文件。 本数据集旨在支持针对重大经济与监管事件发生后加密货币市场表现的复刻研究与进一步探索。