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Predicting Cryptocurrency Defaults
Sapkota, Niranjan - 2019
We examine all available 146 Proof-of-Work based cryptocurrencies that started trading prior to the end of 2014 and track their performance until December 2018. We find that about 60% of those cryptocurrencies were eventually in default. The substantial sums of money involved mean those...
Persistent link: https://www.econbiz.de/10012871117
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A Unified Market Liquidity Measure
Garabedian, Garo - 2015
measure) to aggregate different groups of liquidity measures (percent-cost proxies, cost-per-volume proxies, etc.), in order … to accommodate for the ‘different dimensions of liquidity' (Amihud et al., 2005) through a single ‘unified' market …-wide aggregate liquidity metric. The weights for the multiple dimensions are time-varying and depend on three components: the …
Persistent link: https://www.econbiz.de/10013014761
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Trade-Time Measures of Liquidity
Barardehi, Yashar H. - 2019
Dramatic microstructure changes in equity markets have made standard liquidity measures less accurate proxies of … trading costs. We develop trade-time liquidity measures that reflect per-dollar price impacts of fixed-dollar volumes. Our …-section of expected returns for NYSE-listed stocks: we obtain monthly liquidity premium estimates of 5.3bp for expected returns …
Persistent link: https://www.econbiz.de/10012903499
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On the Computation of LOT Liquidity Measure
Zhao, Wandi - 2016
We clarify that the widely used estimation method for the LOT liquidity model in the market microstructure literature …
Persistent link: https://www.econbiz.de/10012990817
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Liquidity Level or Liquidity Risk? A Fresh Look with New Measures
Al-Haji, Ahmad - 2021
Lou and Sadka (2011) examine the effect of stock liquidity characteristics on stock performance during the 2008 …-2009 crisis. Their conclusion is that liquidity risk, and not the liquidity level, explains stock performance during the crisis …. Lou and Sadka (2011) measure liquidity via Amihud’s (2002) illiquidity measure. I construct a new measure of illiquidity …
Persistent link: https://www.econbiz.de/10013249589
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Chapter 19. Market Liquidity—Theory and Empirical Evidence
Vayanos, Dimitri; Wang, Jiang - 2013
In this paper we survey the theoretical and empirical literatures on market liquidity. We organize both literatures …
Persistent link: https://www.econbiz.de/10014025359
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High-Frequency Liquidity in the Chinese Stock Market : Measurements, Patterns, and Determinants
Zhang, Ruixun; Zhao, Chaoyi; Chen, Yufan; Wu, Lintong; … - 2022
We explore a broad range of high-frequency liquidity measures for the Chinese stock market, based on a comprehensive … summarize their liquidity levels and key distributional properties. Hypothesis tests show that order interarrival times follow … Chinese stock market. We analyze the intraday and cross-sectional patterns of liquidity, and find novel intraday periodicities …
Persistent link: https://www.econbiz.de/10013492581
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High-frequency jump analysis of the bitcoin market
Scaillet, Olivier; Treccani, Adrien; Trevisan, Christopher - 2017
We use the database leak of Mt. Gox exchange to analyze the dynamics of the price of bitcoin from June 2011 to November 2013. This gives us a rare opportunity to study an emerging retail-focused, highly speculative and unregulated market with trader identifiers at a tick transaction level. Jumps...
Persistent link: https://www.econbiz.de/10011762219
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Stylized facts, volatility dynamics and risk measures of cryptocurrencies
Bruzgė, Rasa; Černevičienė, Jurgita; … - In: Journal of business economics and management 24 (2023) 3, pp. 527-550
This study explores the stylized facts, volatility clustering, other highly irregular behaviour, and risk measures of cryptocurrencies' returns. By analysing bitcoin, ripple, and ethereum daily data we establish evidence of strong dependencies among analysed cryptocurrencies. This paper provides...
Persistent link: https://www.econbiz.de/10014420375
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Liquidity Co-Movements and Volatility Regimes in Cryptocurrencies
Anciaux, Hubert; Desagre, Christophe; Nicaise, Nicolas; … - 2021
We find significant evidence of liquidity commonalities among cryptos, in particular when liquidity is estimated by … cryptocurrencies, we identify stronger liquidity co-movements in high volatility regimes across all cryptocurrencies and for all … liquidity proxies. The magnitude and pervasiveness of commonalities are weaker in the low volatility regime when liquidity is …
Persistent link: https://www.econbiz.de/10013250788