I Am a Blockchain Too: How Does the Market Respond to Companies’ Interest in Blockchain?

50 Pages Posted: 22 Jan 2019 Last revised: 24 Nov 2019

See all articles by Daniel Cahill

Daniel Cahill

University of Western Australia

Dirk G. Baur

University of Western Australia - Business School; Financial Research Network (FIRN)

Zhangxin Frank Liu

The University of Western Australia Business School

Joey (Wenling) Yang

The University of Western Australia

Multiple version iconThere are 2 versions of this paper

Date Written: November 22, 2019

Abstract

We investigate the price reaction of listed companies in response to blockchain-related announcements. The average abnormal return based on a global sample of 713 firm announcements is approximately 5% on the announcement day, with significantly higher returns for U.S. firms, smaller firms and announcements in late 2017 and early 2018. We show that abnormal returns are linked to the performance of bitcoin. Additionally, speculative announcements exhibit higher returns than non-speculative announcements, and blockchain- related Form 8-K disclosures have negligible difference in performance compared to their U.S. peers. Whilst we acknowledge the possibility of a latent variable that affects both the abnormal returns and the performance of bitcoin, we hypothesise that investors have confused bitcoin and blockchain, and used the performance of bitcoin as an indicator of the expected success of the blockchain technology.

Keywords: Blockchain; Bitcoin; announcement; event study; investor attention

JEL Classification: G12; G14

Suggested Citation

Cahill, Daniel and Baur, Dirk G. and Liu, Zhangxin (Frank) and Yang, Joey (Wenling), I Am a Blockchain Too: How Does the Market Respond to Companies’ Interest in Blockchain? (November 22, 2019). 2019 Financial Markets & Corporate Governance Conference, Available at SSRN: https://ssrn.com/abstract=3319237 or http://dx.doi.org/10.2139/ssrn.3319237

Daniel Cahill

University of Western Australia ( email )

35 Stirling Highway
Crawley, Western Australia 6009
Australia

Dirk G. Baur

University of Western Australia - Business School ( email )

School of Business
35 Stirling Highway
Crawley, Western Australia 6009
Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

Zhangxin (Frank) Liu (Contact Author)

The University of Western Australia Business School ( email )

School of Business
35 Stirling Highway
Crawley, Western Australia 6009
Australia

Joey (Wenling) Yang

The University of Western Australia ( email )

35 Stirling Highway
Crawley, Western Australia 6009
AUSTRALIA

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