Liquidity commonality in cryptocurrencies

【Author】 Liu, Wenqiong; Bao, Xiaohan; Han, Xing; Li, Youwei

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】This study investigates the cryptocurrency market's microstructure, focusing on liquidity, liquidity commonality, and seasonality patterns. We find an inverted U-shaped pattern in the daily bid-ask spread, trading volume, and volatility within a week. Furthermore, a strong liquidity commonality exists across cryptocurrencies, indicating co-movement of a coin's liquidity with the overall market liquidity. Moreover, the liquidity commonality peaks midweek and declines over the weekend. These seasonal patterns persist for the largest cryptocurrency after controlling for additional liquidity determinants.

【Keywords】Cryptocurrencies; Liquidity; Market microstructure; Seasonality

【发表时间】2025 NOV

【收录时间】2025-09-20

【文献类型】

【主题类别】

--