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Asymmetric News Effects on Cryptocurrency Liquidity: an Event Study Perspective

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  • Yue, Wei
  • Zhang, Sijia
  • Zhang, Qiang

Abstract

We analyze the effects of positive and negative news on the liquidity of 100 largest cryptocurrencies in an event study context. We find that the liquidity of cryptocurrencies increases (decreases) after positive(negative) news announcement. The effects of positive news persist longer than that of negative news. We also reveal evidence that there is information leakage ahead of the news announcements, and the positive (negative) news produce an increase (decrease) in the cryptocurrency returns.

Suggested Citation

  • Yue, Wei & Zhang, Sijia & Zhang, Qiang, 2021. "Asymmetric News Effects on Cryptocurrency Liquidity: an Event Study Perspective," Finance Research Letters, Elsevier, vol. 41(C).
    • Handle: RePEc:eee:finlet:v:41:y:2021:i:c:s1544612320316135
    DOI: 10.1016/j.frl.2020.101799
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    References listed on IDEAS

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    Cited by:

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    3. Naeem, Muhammad Abubakr & Lucey, Brian M. & Karim, Sitara & Ghafoor, Abdul, 2022. "Do financial volatilities mitigate the risk of cryptocurrency indexes?," Finance Research Letters, Elsevier, vol. 50(C).
    4. Smales, L.A., 2022. "Investor attention in cryptocurrency markets," International Review of Financial Analysis, Elsevier, vol. 79(C).
    5. Scharnowski, Stefan, 2022. "Central bank speeches and digital currency competition," Finance Research Letters, Elsevier, vol. 49(C).
    6. Abrar, Afsheen & Naeem, Muhammad Abubakr & Karim, Sitara & Lucey, Brian M. & Vigne, Samuel A., 2024. "Shining in or fading out: Do precious metals sparkle for cryptocurrencies?," Resources Policy, Elsevier, vol. 90(C).
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    8. Kumar Kulbhaskar, Anamika & Subramaniam, Sowmya, 2023. "Breaking news headlines: Impact on trading activity in the cryptocurrency market," Economic Modelling, Elsevier, vol. 126(C).
    9. Arpaci, Ibrahim, 2023. "Predictors of financial sustainability for cryptocurrencies: An empirical study using a hybrid SEM-ANN approach," Technological Forecasting and Social Change, Elsevier, vol. 196(C).
    10. Prusak Błażej & Potrykus Marcin, 2022. "Stock price reaction to an arrangement approval in restructuring proceedings – the case of Poland," International Journal of Management and Economics, Warsaw School of Economics, Collegium of World Economy, vol. 58(3), pages 279-298, September.

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    More about this item

    Keywords

    Cryptocurrency; liquidity; bid-ask spread; Amihud ratio; event study;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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