Liquidity and market efficiency in cryptocurrencies

【Author】 Wei, Wang Chun

【Source】ECONOMICS LETTERS

【影响因子】1.469

【Abstract】We examine the liquidity of 456 different cryptocurrencies, and show that return predictability diminishes in cryptocurrencies with high market liquidity. We show that whilst Bitcoin returns are showing signs of efficiency, numerous cryptocurrencies still exhibit signs of autocorrelation and non independence. Our findings also show a strong relationship between the Hurst exponent and liquidity on a cross-sectional basis. Therefore, we conclude that liquidity plays a significant role in market efficiency and return predictability of new cryptocurrencies. (C) 2018 Elsevier B.V. All rights reserved.

【Keywords】Bitcoin; Cryptocurrency; Market efficiency; Market liquidity

【发表时间】2018 JUL

【收录时间】2022-01-02

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