What drives the liquidity of cryptocurrencies? A long-term analysis

【Author】 Brauneis, Alexander; Mestel, Roland; Theissen, Erik

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】We analyze the liquidity of four cryptocurrencies on four large trading venues over a four-year period. We estimate the Abdi-Ranaldo spread estimator from hourly transactions data and compare liquidity across cryptocurrencies and exchanges. In order to identify the drivers of cryptocurrency liquidity we analyze a broad set of explanatory variables from general financial markets, global cryptocurrency markets as well as variables specific to each exchange-currency pair. Volatility of cryptocurrency returns, the dollar trading volume and the number of transactions are the most important determinants of liquidity while general financial market variables have no explanatory power.

【Keywords】Cryptocurrencies; Liquidity; Bid-ask spread; Spread estimators; Determinants of liquidity

【发表时间】2021 MAR

【收录时间】2022-01-02

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