Market reaction to blockchain news: The role of digital transformation

Abstract

This paper examines the stock market reactions to blockchain-related news and the role of digital transformation in the Chinese stock market. Using 593 blockchain announcements, we find significantly positive abnormal returns on the announcement day, with stronger effects for blockchain-related firms. Market reactions are amplified for firms with higher levels of digital transformation, highlighting digital capabilities as a credibility-enhancing signal. Further, when distinguishing between social-media and newspaper disclosures, we show that social-media news triggers more pronounced return and volatility, underscoring the role of information channels. We contribute to the literature on market reactions to technological innovation by indicating the strategic value of digital transformation in shaping investor expectations.

Keywords: Abnormal return, Blockchain news, CAR, Digital transformation.