Market reactions to Crypto-Specific announcements: Analyzing behaviors in coins and tokens

Jaeho Myeong and Donghoon Kim

Economics Letters, 2025, vol. 250, issue C

Abstract: This paper investigates market reactions to crypto-specific announcements across coins (i.e., Bitcoin and Ethereum) and tokens. Announcements are obtained from the digital information disclosure platform Xangle. We analyze cumulative returns, intraday volatility, trading volume, and wallet-transaction measures. Positive and neutral announcements lead to significant increases in cumulative returns, accompanied by spikes in intraday volatility and trading volume, aligning with the semi-strong efficient market hypothesis. We introduce wallet-transaction measures from the on-chain data platform CryptoQuant, which decrease during positive or neutral announcements, indicating a shift from wallet activity toward speculative trading. Negative announcements yield mixed results, aligning efficient market hypothesis.

Keywords: Cryptocurrency; Crypto-specific announcement; Efficient market hypothesis; Sentiment Analysis; On-Chain Data; Event Study (search for similar items in EconPapers)
JEL-codes: G11 G12 G14 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:250:y:2025:i:c:s0165176525001429

DOI: 10.1016/j.econlet.2025.112305

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