International Journal of Performance Measurement








Volume 8, Number 1, June 2018

Information Released and Market Reaction in Cryptocurrency Market

Wan-Ju Tseng¹, Wan Rung Lin¹, Minh Tuan Phung², Yi-Hsien Wang¹


Following the ever-changing development of network and science and technology, digital currency has gradually risen in popularity in just a few short years since 2008. They are characterized by “decentralization”, with no need to rely on particular institutions. Bitcoin is the earliest appearance and the largest of the virtual currency, with many Bitcoin investors all over the world. They made the trades actively with countries such as the United States, Japan, China, South Korea and Europe, etc. Since October 2013, the price of Bitcoin has gone through some drastic fluctuations. Therefore, this research used the event study method to explore the relationship between messages issued by central banks in various countries and Bitcoin’s price volatility during the period from 2013-2018. From the event samples, the results showed that the effect of messages issued by central banks on the abnormal return (AR) produced by Bitcoin transformed from exhibiting a significantly positive effect to a significantly negative effect post the disclosure of messages. This finding accommodates blockchain technology, virtual currency investors and owners as a reference.


Keywords: Cryptocurrencies, Bitcoin, Abnormal return, Central bank

JEL Classification: G22, O50


¹ Department of Banking and Finance, Chinese Culture University, Taiwan

² Department of Business Administration, Ton Duc Thang University, Vietnam