Liquidity in the cryptocurrency market and commonalities across anomalies

【Author】 Dong, Bingbing; Jiang, Lei; Liu, Jinyu; Zhu, Yifeng

【Source】INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS

【影响因子】8.235

【Abstract】We examine how liquidity affects cryptocurrency market efficiency and study commonalities in anomaly performance in cryptocurrency markets. Based on the unique features of cryptocurrencies, we build a model with anonymous traders valuing cryptocurrencies as payments for goods and investment assets, and find that decreases in funding liquidity translate into lower asset liquidity in the cryptocurrency market. Empirically, we observe that many widely recognized stock market anomalies also exist in the cryptocurrency market, although some have opposite long and short legs. We also find evidence that a decrease in cryptocurrency liquidity enhances anomalous returns while preventing the cryptocurrency market from achieving efficiency.

【Keywords】Cryptocurrency; Asset liquidity; Funding liquidity; Anomalies

【发表时间】2022 MAY

【收录时间】2022-05-17

【文献类型】实证性文章

【主题类别】

区块链治理-市场治理-数字货币