Not logged in.
Quick Search - Contribution
Contribution Details
| Type | Journal Article |
| Scope | Discipline-based scholarship |
| Title | Adverse Selection in Cryptocurrency Markets |
| Organization Unit | |
| Authors |
|
| Item Subtype | Original Work |
| Refereed | Yes |
| Status | Published electronically before print/final form (Epub ahead of print) |
| Language |
|
| Journal Title | Journal of Financial Research |
| Geographical Reach | international |
| Volume | forthcoming |
| Page Range | - |
| Date | 2023 |
| Abstract Text | In this article we investigate the influence that information asymmetry may have on future volatility, liquidity, market toxicity, and returns within cryptocurrency markets. We use the adverse-selection component of the effective spread as a proxy for overall information asymmetry. Using order and trade data from the Bitfinex exchange, we first document statistically significant adverse-selection costs for major cryptocurrencies. Also, our results suggest that adverse-selection costs, on average, correspond to 10% of the estimated effective spread, indicating an economically significant impact of adverse-selection risk on transaction costs in cryptocurrency markets. Finally, we document that adverse-selection costs are important predictors of intraday volatility, liquidity, market toxicity, and returns. |
| Free access at | Official URL |
| Official URL | https://onlinelibrary.wiley.com/doi/10.1111/jfir.12317 |
| Related URLs |
|
| Digital Object Identifier | 10.1111/jfir.12317 |
| Export |
BibTeX
EP3 XML (ZORA)
|