Essays in cryptocurrency markets

This thesis examines how the cryptocurrency market responds to major external announcements, with particular attention to the heterogeneity of that response across asset classes, individual cryptocurrencies, and trading platforms. Through three empirical chapters, it investigates whether this market absorbs external pressure uniformly or redistributes value, volatility, and liquidity differently across its internal structure. Chapter 2 examines market reactions to the EU's Markets in Crypto-Assets regulatory proposal using a difference-in-differences framework across six asset categories. Unidentifiable-issuer cryptocurrencies exhibit strong positive responses while DeFi protocols decline despite exemption, and issuer identifiability emerges as a priced characteristic with a 2.1 percentage point divergence between identifiable and unidentifiable issuer cryptocurrencies. These results demonstrate that regulatory accountability, not just asset function, shapes crypto-asset valuations under comprehensive regulatory frameworks. Chapter 3 investigates volatility transmission among eight major cryptocurrencies using time-varying parameter vector autoregression with Diebold-Yilmaz spillover indices. Ethereum emerges as the dominant net volatility transmitter, surpassing Bitcoin, while MiCA exerts stronger structural impact on transmission dynamics than the Russia-Ukraine War or COVID-19, indicating that crypto-specific regulation now dominates traditional macroeconomic and geopolitical factors in shaping internal market risk. Chapter 4 examines liquidity dynamics between centralised and decentralised exchanges across three regulatory jurisdictions using two-way fixed effects panel regression. DEX trading activity declines relative to CEX across all three events, while price impact liquidity improves for DEX-linked assets in two of the three cases, confirming that liquidity dimensions respond differently under regulatory pressure and that centralised oversight produces measurable effects on decentralised venues even when formally exempt. Chapter 5 concludes the thesis by summarising key findings, discussing limitations, and identifying directions for future research.