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Detect Informed Trading in Cryptocurrency : Can On-Chain Trades Predict Return of Ether?

Li, Tieming - 2023

This study is the first attempt for detecting informed trading on Ethereum blockchain. We collect detailed trading data of overs 2.7 million Ethereum addresses from their interaction with decentralized exchange on Ethereum blockchain. We first analyze the characteristics of both on-chain...

Persistent link: https://www.econbiz.de/10014350067

Cryptocurrency Pair Trading

Lesa, Chiara; Hochreiter, Ronald - 2023

Pair trading is a strategy which relies on betting on the relative mispricing of the spread between two securities which share a long-term relationship. These strategies have shown to perform well with equities, however not much research has been conducted in the field of cryptocurrencies, even...

Persistent link: https://www.econbiz.de/10014350826

Fundamental vs. Technical Analysis : News-based Factors and Cryptocurrency Risk Premia

Filippou, Ilias; T. Nguyen, My; Viswanath-Natraj, Ganesh - 2023

This paper investigates the cross-sectional predictive ability of text-based factors in the cryptocurrency market --an important asset class for retail and institutional investors. We employ Bidirectional Encoder Representations from Transformers (BERT) topic modeling to analyze news articles...

Persistent link: https://www.econbiz.de/10014351292

Blockchain mania : a perspective on corporate executive opportunism

Wang, Qilin; Ding, Yanhao; Liu, Jinzhao; Huang, Yehua - In: Borsa Istanbul Review 24 (2024) 2, pp. 424-434

This study investigates whether investors' overreactions to blockchain-related announcements is driven by corporate executive opportunism in the Chinese capital market. We manually collect blockchain-related announcements made by Chinese listed firms over 2016–2022 and conduct an event study...

Persistent link: https://www.econbiz.de/10014495246

Does herding behavior exist in cryptocurrency market?

Amirat, Amina; Alwafi, Wafa - In: Cogent economics & finance 8 (2020) 1, pp. 1-10

This paper investigates the existence of herding behavior in cryptocurrencies market. Using data of the 20 large cryptocurrencies and MV Index Solution Crypto Compare Digital Assets for large cap index, we found no evidence of herding behavior using cross-sectional absolute standard deviation...

Persistent link: https://www.econbiz.de/10012219310

Adaptive market hypothesis: an empirical analysis of time : varying market efficiency of cryptocurrencies

Khursheed, Ambreen; Naeem, Muhammad; Ahmed, Sheraz; … - In: Cogent economics & finance 8 (2020) 1, pp. 1-15

This study examines the adaptive market hypothesis (AMH) in relation to time-varying market efficiency by using three tests, namely Generalized Spectral (GS), Dominguez-Lobato (DL) and the automatic portmanteau test (AP) test on four-digital currencies; Bitcoin, Monaro, Litecoin, and Steller...

Persistent link: https://www.econbiz.de/10012219697

To disclose or not to disclose : transparency and liquidity in the structured product market

Friewald, Nils; Jankowitsch, Rainer; Subrahmanyam, Marti G. - 2014 - This version: May 5, 2014

We use a unique data set from the Trade Reporting and Compliance Engine (TRACE) to study liquidity e ffects in the US … structured product market. Our main contribution is the analysis of the relation between the accuracy in measuring liquidity and … provide guidance for improving transparency while maintaining trader confidentiality. In addition, we analyze liquidity in the …

Persistent link: https://www.econbiz.de/10010361830

Central clearing and asset prices

Menkveld, Albert J.; Pagnotta, Emiliano; Zoican, Marius A. - 2013

We investigate the effects of introducing a central clearing counterparty (CCP) on securities prices by adopting as an experimental construct the 2009 CCP reform in three Nordic markets. We find that, relative to other European economies, these countries experience market-adjusted equity returns...

Persistent link: https://www.econbiz.de/10010224773

Stock Liquidity and Default Risk

Brogaard, Jonathan - 2019

This paper examines the impact of stock liquidity on firm bankruptcy risk. Using the Securities and Exchange Commission … decimalization regulation as a shock to stock liquidity, we establish that enhanced liquidity decreases default risk. Stocks with the … highest default risk experience the largest improvements. We find two mechanisms through which stock liquidity reduces firm …

Persistent link: https://www.econbiz.de/10012904049

The Liquidity of Credit Default Index Swap Networks

Haynes, Richard - 2019

increases as trade size increases. We also identify a few liquidity trends: measures like average daily volumes, average price …

Persistent link: https://www.econbiz.de/10012871667