Liquidity and market efficiency in cryptocurrencies

被引：229

作者：

Wei, Wang Chun ^{[1
]}

机构：

[1] Univ Queensland, UQ Business Sch, Brisbane, Qld, Australia

来源：

ECONOMICS LETTERS | 2018年 / 168卷

关键词：

Bitcoin; Cryptocurrency; Market efficiency; Market liquidity; BITCOIN; INEFFICIENCY;

D O I：

10.1016/j.econlet.2018.04.003

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We examine the liquidity of 456 different cryptocurrencies, and show that return predictability diminishes in cryptocurrencies with high market liquidity. We show that whilst Bitcoin returns are showing signs of efficiency, numerous cryptocurrencies still exhibit signs of autocorrelation and non independence. Our findings also show a strong relationship between the Hurst exponent and liquidity on a cross-sectional basis. Therefore, we conclude that liquidity plays a significant role in market efficiency and return predictability of new cryptocurrencies. (C) 2018 Elsevier B.V. All rights reserved.

引用

页码：21 / 24

页数：4

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