Asymmetric News Effects on Cryptocurrency Liquidity: an Event Study Perspective

【Author】 Yue, Wei; Zhang, Sijia; Zhang, Qiang

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】We analyze the effects of positive and negative news on the liquidity of 100 largest cryptocurrencies in an event study context. We find that the liquidity of cryptocurrencies increases (decreases) after positive(negative) news announcement. The effects of positive news persist longer than that of negative news. We also reveal evidence that there is information leakage ahead of the news announcements, and the positive (negative) news produce an increase (decrease) in the cryptocurrency returns.

【Keywords】Cryptocurrency; liquidity; bid-ask spread; Amihud ratio; event study

【发表时间】2021 JUL

【收录时间】2022-01-02

【文献类型】

【主题类别】

--