Cryptocurrency regulation and market quality

被引：23

作者：

Griffith, Todd ^{[1
]}

Clancey-Shang, Danjue ^{[1
]}

机构：

[1] Utah State Univ, Jon M Huntsman Sch Business, Dept Econ & Finance, 3565 Old Main Hill, Logan, UT 84322 USA

来源：

JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY | 2023年 / 84卷

关键词：

Cryptocurrency regulations; Cryptocurrency market quality; Environmental impacts; INFORMATION; VOLATILITY; LIQUIDITY; VOLUME; IMPACT;

D O I：

10.1016/j.intfin.2023.101744

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We examine the effects of the 2021 Chinese cryptocurrency ban on several aspects of crypto market quality, namely, prices, volatility, and liquidity. We find that average crypto prices plunge and liquidity deteriorates, while volatility spikes in response to the announcement of the ban. While the volatility surge is short-lived, the fall in crypto values and liquidity persists. The results are robust across dollar trading volume sorts, and remain significant after taking into account the inter-connectedness between the market quality measures in a vector autoregressive framework. We present the results in comparison with the 2017 Chinese cryptocurrency ban, which did not result in the same broad changes in the crypto market. We also discuss the potential household ownership and environmental implications of the ban.

引用

页数：12

共 35 条

[11]

Chen G., 2001, FINANC REV, V38, P153, DOI [10.1111/j.1540-6288.2001.tb00024.x, DOI 10.1111/j.1540-6288.2001.tb00024.x]

[12] Long and short-term impacts of regulation in the cryptocurrency market [J].