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Liquidity commonality in the cryptocurrency market

Author

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  • Abhinava Tripathi
  • Alok Dixit
  • Vipul

Abstract

Motivated by the unique transaction cost structure of the cryptocurrency (CC) market11The authors thank the anonymous reviewer for the review of the manuscript and the insightful comments., this study investigates the phenomenon of liquidity commonality across a sample of 53 CCs. The study employs the google search volume index (GSVI) measure to capture the retail investor’s attention towards the CC market. Using the quantile regression method, we document the liquidity dynamics of CCs that is contrasting to other asset classes, and is ascribed to its unique transaction cost structure. In view of the relatively high liquidity commonality levels found in the CC market, this paper sounds a note of caution to retail investors on episodic non-availability of liquidity in CCs.

Suggested Citation

  • Abhinava Tripathi & Alok Dixit & Vipul, 2022. "Liquidity commonality in the cryptocurrency market," Applied Economics, Taylor & Francis Journals, vol. 54(15), pages 1727-1741, March.
    • Handle: RePEc:taf:applec:v:54:y:2022:i:15:p:1727-1741
    DOI: 10.1080/00036846.2021.1982128
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    Cited by:

    1. Fathin Faizah Said & Raja Solan Somasuntharam & Mohd Ridzwan Yaakub & Tamat Sarmidi, 2023. "Impact of Google searches and social media on digital assets’ volatility," Palgrave Communications, Palgrave Macmillan, vol. 10(1), pages 1-17, December.
    2. Mercik, Aleksander & Słoński, Tomasz & Karaś, Marta, 2024. "Understanding crypto-asset exposure: An investigation of its impact on performance and stock sensitivity among listed companies," International Review of Financial Analysis, Elsevier, vol. 92(C).
    3. Radu Bores & Ana-Maria Bores, 2023. "Regulating Cryptographic Financial Instruments From Intent To Execution," European Journal of Accounting, Finance & Business, "Stefan cel Mare" University of Suceava, Romania - Faculty of Economics and Public Administration, West University of Timisoara, Romania - Faculty of Economics and Business Administration, vol. 11(1), pages 45-52, February.

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