Liquidity and market efficiency in cryptocurrencies

Wei, Wang Chun

doi:10.1016/j.econlet.2018.04.003

Cited by 315 publications

(156 citation statements)

References 12 publications

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“…For this study, we take q min = −25 and q max = 25, and investigate a relationship between multifractality degree ∆h and market efficiency as measured by the Hurst exponent h(2). To examine the relationship between market efficiency and liquidity, we follow Wei (2018) and use the Amihud illiquidity measure as proxy for illiquidity. The Amihud illiquidity (ILLIQ) is defined as…”

Section: Methodsmentioning

confidence: 99%

Market Efficiency, Liquidity, and Multifractality of Bitcoin: A Dynamic Study

Takaishi

Adachi

2019

Asia-Pac Financ Markets

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This letter investigates the dynamic relationship between market efficiency, liquidity, and multifractality of Bitcoin. We find that before 2013 liquidity is low and the Hurst exponent is less than 0.5, indicating that the Bitcoin time series is anti-persistent. After 2013, as liquidity increased, the Hurst exponent rose to approximately 0.5, improving market efficiency. For several periods, however, the Hurst exponent was found to be significantly less than 0.5, making the time series anti-persistent during those periods. We also investigate the multifractal degree of the Bitcoin time series using the generalized Hurst exponent and find that the multifractal degree is related to market efficiency in a non-linear manner.

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Section: Methodsmentioning

confidence: 99%

Market Efficiency, Liquidity, and Multifractality of Bitcoin: A Dynamic Study

Takaishi

Adachi

2019

Asia-Pac Financ Markets

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“…For a comprehensive review of the bitcoin efficiency literature to date, see Bundi and Wildi (). Note that some research on efficiency has been extended to cryptocurrencies beyond bitcoin (Brauneis & Mestel, ; Wei, ).…”

Section: Introductionmentioning

confidence: 99%

BitMEX bitcoin derivatives: Price discovery, informational efficiency, and hedging effectiveness

Alexander

Choi

Park

et al. 2019

Journal of Futures Markets

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BitMEX is the largest unregulated bitcoin derivatives exchange, listing contracts suitable for leverage trading and hedging. Using minute‐by‐minute data, we examine its price discovery and hedging effectiveness. We find that BitMEX derivatives lead prices on major bitcoin spot exchanges. Bid–ask spreads, interexchange spreads, and relative trading volumes are important determinants of price discovery. Further analysis shows that BitMEX derivatives have positive net spillover effects, are informationally more efficient than bitcoin spot prices, and serve as effective hedges against spot price volatility. Our evidence suggests that regulators prioritize the investigation of the legitimacy of BitMEX and its contracts.

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“…Earlier papers have been focusing on the characteristics (Selgin 2015;Böhme et al 2015;Ammous 2018), volatility measurement (Katsiampa 2017(Katsiampa , 2019a(Katsiampa , 2019bChaim and Laurini 2018;Beneki et al 2019;, and inefficiency in the markets of digital coins (Urquhart 2016;Nadarajah and Chu 2017;Bariviera 2017). Another strand of papers have centered their interest on speculation and hedging properties in virtual currency markets (Dyhrberg 2016;Bouri et al 2017;Fang et al 2019) while others investigate liquidity characteristics of cryptocurrencies (Wei 2018; . Extant empirical testing generally tends to focus on high-capitalization cryptocurrencies in order to ascertain whether coins such as Ethereum, Ripple, Litecoin, or Stellar could substitute Bitcoin regarding investors' preferences in a noteworthy extent.…”

Section: Introductionmentioning

confidence: 99%

A Survey on Empirical Findings about Spillovers in Cryptocurrency Markets

Kyriazis

2019

JRFM

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This paper provides a systematic survey on return and volatility spillovers of cryptocurrencies based on the empirical results of relevant academic literature. Evidence reveals that Bitcoin is the most influential among digital coins mainly as a transmitter toward digital currencies but also as a receiver of spillovers from virtual currencies and alternative assets. Ethereum, Litecoin, and Ripple present the most significant interlinkages with Bitcoin. Return spillovers are more pronounced but volatility spillovers often present a bi-directional character. Volatility shock transmission is detected among Bitcoin and national currencies, while economic policy uncertainty is not influential. This survey provides useful guidance in the hotly-debated issue of reform and decentralization of financial systems.

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Liquidity and market efficiency in cryptocurrencies

Cited by 315 publications

References 12 publications

Market Efficiency, Liquidity, and Multifractality of Bitcoin: A Dynamic Study

Market Efficiency, Liquidity, and Multifractality of Bitcoin: A Dynamic Study

BitMEX bitcoin derivatives: Price discovery, informational efficiency, and hedging effectiveness

A Survey on Empirical Findings about Spillovers in Cryptocurrency Markets

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