We analyze the supply of cryptocurrency data from leading providers and uncover significant quality issues. We document the impact of these issues on the empirical analysis of cryptocurrency markets, emphasizing the risks of relying on single sources.

We propose a methodology to aggregate data across providers that ensures consistency and demonstrate its benefits in an asset pricing study. We recommend the adoption of a unified identification system for cryptocurrencies, akin to traditional financial markets, to enhance data reliability. We also flag a need for potential regulatory oversight to ensure consumer protection in the market for crypto data.

Link to full paper:

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4673905