Cryptocurrency markets operate at a global scale and are lightly regulated compared to traditional securities markets. Cryptocurrencies like Bitcoin trade across multiple secondary markets that differ significantly in term of liquidity, governance and trust.
This study explores 327 exchange listings of 180 cryptocurrencies on 22 different cryptocurrency exchanges and examines the resulting price effects using event study methodology.
The results show a significant average abnormal return of 5.7% on the day of the listing event and 9.2% in the window of three days before until three days after the listing. The effects clearly differ for individual cryptocurrency exchanges, with listings on only a few exchanges yielding significant positive short-term abnormal returns of up to 25.5% on the day of the listing. Other exchanges show no significant effects at all or even significant negative returns, which suggests informed trading or market manipulation. Additional tests show that higher market capitalization in combination with lower trading volume leads to higher abnormal returns at exchange listings of blockchain-based assets.
The study provides insights into the maturity of the cryptocurrency market, the efficiency of the market and potential critical issues that may require regulatory intervention.
Keywords: cross-listings; cryptocurrency exchanges; blockchain; informed trading; event study