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The ChatGPT Effect on AI-Themed Cryptocurrencies
This study examines the impact of ChatGPT on the returns of AI-themed cryptocurrency assets. It analyzes the abnormal return fluctuations of AI-related cryptocurrencies following the launch of ChatGPT in November 2022 and investigates whether the increased interest in ChatGPT has influenced the cryptocurrency market.

Key Research Methods:

• Data Collection: Price data of 10 AI-themed cryptocurrency assets selected by CoinDesk and Bitcoin price data were collected.

• AI Cryptocurrency Index: An equal-weighted AI cryptocurrency index was created using 10 AI-themed tokens.

• Event Study Methodology: The launch of ChatGPT was set as an event, and abnormal returns before and after the event were analyzed.

• Statistical Testing: The Wilcoxon signed-rank test was used to verify the statistical significance of the results.

Key Findings:

1. The Effect of ChatGPT’s Launch:

• Abnormal Return (AR): On the launch day of ChatGPT, AI-themed tokens recorded an average abnormal return of 2.71%, which was statistically significant. This indicates that the event had an immediate and positive impact on the AI-themed cryptocurrency market. Abnormal return refers to the additional gain obtained by individual cryptocurrencies beyond the overall market movement.

• Intensified Interest: On days 8 and 9 after the launch, abnormal returns surged to 5.6% and 22.59%, respectively. This suggests that as awareness of ChatGPT spread, investor interest in AI-themed cryptocurrencies intensified.

2. Cumulative Abnormal Return (CAR):

• Short-term Impact: One week after ChatGPT's launch, the AI cryptocurrency index increased by 18.26%, and within two weeks, it surged by 41.68%. This indicates that ChatGPT's release provided a strong short-term momentum for the AI-themed cryptocurrency market.

• Widespread Gains: 90% of the analyzed AI-themed tokens experienced positive abnormal returns after the launch. This suggests that the ChatGPT effect was not limited to specific tokens but was a widespread phenomenon across the AI-themed cryptocurrency market.

3. Divergence from Bitcoin:

• Bitcoin Decline: While AI-themed cryptocurrencies benefited from the launch of ChatGPT, Bitcoin experienced a downtrend.

• Market Segmentation: This indicates that the cryptocurrency market is no longer moving as a single unit but is reacting differently based on specific themes or narratives. AI-themed cryptocurrencies are now being recognized as an independent asset class with a unique investment story separate from Bitcoin.

4. The Role of Signaling Theory:

• Quality Signal: The emergence of ChatGPT and advancements in AI technology act as quality signals that enhance investor confidence in AI-themed cryptocurrency assets, driving up prices.

• Confirmed Patterns: Investors respond to economic indicators that provide embedded information about market trends.

• Reduction of Information Asymmetry: By lowering the cost of information dissemination and interpretation, more investors are encouraged to participate.

Overall Implications:

The launch of ChatGPT can be interpreted as a significant event that positively impacted the AI-themed cryptocurrency market. Investors have recognized the potential of ChatGPT and AI technology, leading to increased investments in related crypto assets. However, these results may be short-term, and long-term performance will likely be influenced by other factors such as regulatory changes, technological advancements, and market maturity.

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