Date of Award
Master of Science (MS)
Economics and Finance
Tyler Brough (Committee Chair)
In this paper, I examine the effect of the May 18th, 2021 Chinese ban of cryptocurrency transactions on the overall volatility of the cryptocurrency market. To do this, I analyze, in both univariate and multivariate settings, range-based volatility in various event windows surrounding the event. I find clear economic and statistical change in volatility in the five days after the ban. In the ten-day period after the ban, there is a moderate economic change in volatility. In the forty-day period after the ban, there is little economic change in volatility. I conclude that the Chinese ban had a clear short-term impact on the volatility of the cryptocurrency marketplace, but the effects wore off shortly thereafter.
Manwaring, Keaton, "The Volatility Implications of the Chinese Cryptocurrency Ban" (2021). All Graduate Plan B and other Reports. 1591.
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