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

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.