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

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  • Myeong, Jaeho
  • Kim, Donghoon

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.

Suggested Citation

  • Myeong, Jaeho & Kim, Donghoon, 2025. "Market reactions to Crypto-Specific announcements: Analyzing behaviors in coins and tokens," Economics Letters, Elsevier, vol. 250(C).
    • Handle: RePEc:eee:ecolet:v:250:y:2025:i:c:s0165176525001429
    DOI: 10.1016/j.econlet.2025.112305
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    References listed on IDEAS

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    Keywords

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    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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