Exchange warnings and crypto prices: Evidence from monitoring tags

Abstract Crypto exchanges decide which tokens the public can trade, and they also warn investors when a token may be removed. This study examines how prices respond to such warnings, using the monitoring tag of Binance, the largest crypto exchange. We time each tag announcement to the second and compare tagged tokens with untagged tokens of similar risk in the same announcement, with tokens that the exchange tags later, and with untagged tokens that a model estimated on earlier announcements ranks as most likely to be tagged. Tagged tokens fall within seconds of the announcement and keep falling through the first day, whereas the comparison tokens barely move. The decline appears on other large exchanges in the same minute, and prices do not recover over the following month. The tag predicts later delisting well beyond observable risk, but the size of the price response says little about which tagged tokens the exchange will remove. Tokens with perpetual futures absorb more of the warning in the first minute and lose less over the first day. The evidence suggests that a private gatekeeper produces information that prices absorb almost at once, and that the ease of betting against a token may shape how its price absorbs this information. JEL classification: G12; G14; G15; G18