경제정책 불확실성, 가상자산 발행자 등의 정보공시 및 가상자산 투자자들의 의사결정

This study examines how economic policy uncertainty (EPU) influences the disclosure behavior of crypto-asset projects and whether such disclosures mitigate information asymmetry under heightened uncertainty. Using a daily EPU index based on Baker et al. (2016), we analyze how disclosure behavior varies with EPU levels and how disclosures under high uncertainty affect investor decision-making. The crypto-asset market, once limited to payment and exchange functions, has developed into an investment vehicle with structures resembling stock markets (Kim and Kim, 2021). Unlike traditional markets, however, it operates 24 hours a day and includes decentralized exchanges that enable peer-to-peer transactions. While voluntary disclosures can play an important role in guiding investment behavior, investors—predominantly retail participants—often rely on technical documents such as white papers, which are difficult to interpret and contribute to heightened information asymmetry. Amid persistent volatility and regulatory uncertainty, voluntary disclosures can provide essential information on issuance, risk, and project developments. This became especially relevant during the “crypto winter” of late 2022, when global capitalization fell sharply due to both internal shocks (e.g., Terra-Luna, FTX) and external macroeconomic pressures (e.g., U.S. monetary tightening, the Russia–Ukraine war, and energy shocks). Empirical results show that higher EPU levels are associated with increased disclosure activity. Moreover, under high uncertainty, more frequent disclosures reduce abnormal trading volume but increase abnormal return variance. These findings suggest that voluntary disclosures play a meaningful role in alleviating information asymmetry and provide policy implications for improving the institutional design of crypto-asset markets.