Does bitcoin liquidity resemble the liquidity of other financial assets?

【Author】 Ma, Rui; Marshall, Ben R.; Nguyen, Nhut H.; Visaltanachoti, Nuttawat

【Source】AUSTRALIAN JOURNAL OF MANAGEMENT

【影响因子】3.229

【Abstract】Bitcoin is becoming a popular financial asset and means of transacting. However, little is known about an important aspect of the bitcoin market: its liquidity. We consider whether various dimensions of liquidity evident in other asset classes are present in bitcoin spot and futures liquidity. We find variations in spot liquidity across bitcoin exchanges and a strong commonality in bitcoin spot and futures market liquidity. The pricing of spot and futures bitcoin is relatively inefficient, and liquidity plays an important role. Deterioration in liquidity also contributes to bitcoin crash risk and large return declines. JEL Classification: G11, G23

【Keywords】Bitcoin; cryptocurrency; liquidity

【发表时间】

【收录时间】2022-02-11

【文献类型】期刊

【主题类别】

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