The price and liquidity impact of China forbidding initial coin offerings on the cryptocurrency market

被引：17

作者：

Zhang, Sijia ^{[1
]}

Gregoriou, Andros ^{[1
]}

机构：

[1] Univ Brighton, Brighton Business Sch, Mithras House,Lewes Rd, Brighton BA2 4NT, E Sussex, England

来源：

APPLIED ECONOMICS LETTERS | 2020年 / 27卷 / 20期

关键词：

Cryptocurrency; liquidity; bid-ask spread; Amihud ratio; BITCOIN; FREQUENCY; ECONOMICS;

D O I：

10.1080/13504851.2020.1713979

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In this article, we empirically examine the cryptocurrency market reaction to china prohibiting initial coin offerings, on the 4 September 2007 for the 100 largest cryptocurrencies. The announcement has a significant negative but temporary impact on cryptocurrency returns and liquidity.

引用

收藏

页码：1695 / 1698

页数：4

相关论文

共 10 条

[1] Illiquidity and stock returns: cross-section and time-series effects [J].

Amihud, Y .

JOURNAL OF FINANCIAL MARKETS, 2002, 5 (01) :31-56

[2] Price discovery of cryptocurrencies: Bitcoin and beyond [J].

Brauneis, Alexander ;

Mestel, Roland .

ECONOMICS LETTERS, 2018, 165 :58-61

[3] The economics of BitCoin price formation [J].

Ciaian, Pavel ;

Rajcaniova, Miroslava ;

Kancs, d'Artis .

APPLIED ECONOMICS, 2016, 48 (19) :1799-1815

[4] Exploring the dynamic relationships between cryptocurrencies and other financial assets [J].

Corbet, Shaen ;

Meegan, Andrew ;

Larkin, Charles ;

Lucey, Brian ;

Yarovaya, Larisa .

ECONOMICS LETTERS, 2018, 165 :28-34

[5] The economics of Bitcoin and similar private digital currencies [J].

Dwyer, Gerald P. .

JOURNAL OF FINANCIAL STABILITY, 2015, 17 :81-91

[6] Trading frequency and asset pricing on the London Stock Exchange: Evidence from a new price impact ratio [J].

Florackis, Chris ;

Gregoriou, Andros ;

Kostakis, Alexandros .

JOURNAL OF BANKING & FINANCE, 2011, 35 (12) :3335-3350

[7] On Bitcoin markets (in)efficiency and its evolution [J].

Kristoufek, Ladislav .

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2018, 503 :257-262

[8]

Nakamoto S, 2008, Bitcoin: A peer-to-peer electronic cash system

[9] Informational inefficiency of Bitcoin: A study based on high-frequency data [J].

Zargar, Faisal Nazir ;

Kumar, Dilip .

RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE, 2019, 47 :344-353

[10] Cryptocurrency, confirmatory bias and news readability - evidence from the largest Chinese cryptocurrency exchange [J].

Zhang, Shuyu ;

Zhou, Xuanyu ;

Pan, Huifeng ;

Jia, Junyi .

ACCOUNTING AND FINANCE, 2019, 58 (05) :1445-1468