Uncertain Regulations, Definite Impacts: The Impact of the US Securities and Exchange Commission's Regulatory Interventions on Crypto Assets

Aman Saggu, Lennart Ante and Kaja Kopiec

Papers from arXiv.org

Abstract: This study employs an event study methodology to investigate the market impact of the U.S. Securities and Exchange Commission's (SEC) classification of crypto assets as securities. It explores how SEC interventions influence asset returns and trading volumes, focusing on explicitly named crypto assets. The empirical analysis highlights significant adverse market reactions, notably returns plummeting 12% over one week post-announcement, persisting for a month. We demonstrate that the severity of market reaction depends on sentiment and asset characteristics such as market size, age, volatility, and illiquidity. Further, we identify significant ex-ante trading volume effects indicative of pre-announcement informed trading.

Date: 2024-12
New Economics Papers: this item is included in nep-fdg, nep-pay and nep-reg
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Published in Finance Research Letters, 72, 106413 (2024)

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Journal Article: Uncertain Regulations, Definite Impacts: The Impact of the U.S. Securities and Exchange Commission's Regulatory Interventions on Crypto Assets (2025)
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