BLOCKCHAIN AS A FINANCIAL NARRATIVE: CONSTRUCTING A MULTI-DIMENSIONAL DISCLOSURE INDEX AND EVIDENCE ON STOCK LIQUIDITY ACROSS THE U.S. STOCKS

Amin Haniff; Asyraf Halim

doi:10.33102/ngn8fm20

Authors

Amin Haniff Faculty of Business and Economics, Universiti Malaya, Kuala Lumpur, Malaysia Author
Asyraf Halim Faculty of Business and Economics, Universiti Malaya, Kuala Lumpur, Malaysia Author

DOI:

https://doi.org/10.33102/ngn8fm20

Keywords:

blockchain, disclosure analysis, information asymmetry, stock liquidity, natural- language processing

Abstract

How does talking about blockchain impact the firm’s economic values? Corporate blockchain disclosure has grown faster than the tools to measure it, leaving investors unable to separate substantive technological commitment from promotional “cheap talk”. First, this paper constructs a firm-level Blockchain Disclosure Index (BDI) for United States public-listed firms over 2012–2025 using a hybrid natural-language-processing (NLP) pipeline that embeds filing sentences with a transformer model called the Sentences-BERT (SBERT). The index is validated as a measurement instrument: its four dimensions are empirically distinct and theory-carried rather than artefacts of the method, and firm-level disclosure intensity is systematic, with roughly three-quarters of its variance lying between firms and durable over time. Second, I then test whether the blockchain disclosure really moves the markets for the stable surviving firms throughout the period. At annual frequency there is no causal liquidity effect; Using the 10-K disclosures, the only robust association is positive and wrong-signed that is concentrated in small illiquid firms that consistent with reverse causality, and secondly, a dynamic system-GMM panel with valid instruments finds nothing. While the 8-K fillings at the disclosure event, price returns show no reaction, while abnormal illiquidity carries a stable negative coefficient, implicating a liquidity-improving that becomes significant once influential events are excluded, indicating a modest short-term liquidity benefit that operates through the liquidity channel rather than price.

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