394
Views
4
CrossRef citations to date
0
Altmetric
Research Article

Is liquidity risk priced in cryptocurrency markets?

ORCID Icon

References

  • Abdi, F., and A. Ranaldo. 2017. “A Simple Estimation of bid-ask Spreads from Daily Close, High, and Low Prices.” The Review of Financial Studies 30 (12): 4437–4480. doi:10.1093/rfs/hhx084.
  • Acharya, V. V., and L. H. Pedersen. 2005. “Asset Pricing with Liquidity Risk.” Journal of Financial Economics 77: 375–410. doi:10.1016/j.jfineco.2004.06.007.
  • Bouri, E., L. Kristoufek, T. Ahmad, and S. J. H. Shahzad. 2022. “Microstructure Noise and Idiosyncratic Volatility Anomalies in Cryptocurrencies.” Annals of Operations Research 1–27.
  • Brauneis, A., R. Mestel, R. Riordan, and E. Theissen. 2021. “How to Measure the Liquidity of Cryptocurrency Markets?” Journal of Banking & Finance 124: 106041. doi:10.1016/j.jbankfin.2020.106041.
  • Choy, S. K., and J. Wei. 2020. “Liquidity Risk and Expected Option Returns.” Journal of Banking & Finance 111: 105700. doi:10.1016/j.jbankfin.2019.105700.
  • Corwin, S. A., and P. Schultz. 2012. “A Simple Way to Estimate bid-ask Spreads from Daily High and Low Prices.” Journal of Finance 67: 719–760. doi:10.1111/j.1540-6261.2012.01729.x.
  • Dong, B., L. Jiang, J. Liu, and Y. Zhu. 2022. “Liquidity in the Cryptocurrency Market and Commonalities across Anomalies.” International Review of Financial Analysis 81: 102097. doi:10.1016/j.irfa.2022.102097.
  • Fama, E. F., and J. D. MacBeth. 1973. “Risk, Return, and Equilibrium: Empirical Tests.” Journal of Political Economy 81: 607–636. doi:10.1086/260061.
  • Gibbons, M. R., S. A. Ross, and J. Shanken. 1989. “A Test of the Efficiency of A Given Portfolio.” Econometrica 57: 1121–1152. doi:10.2307/1913625.
  • Lee, K. H. 2011. “The World Price of Liquidity Risk.” Journal of Financial Economics 99: 136–161. doi:10.1016/j.jfineco.2010.08.003.
  • Lin, H., J. Wang, and C. Wu. 2011. “Liquidity Risk and Expected Corporate Bond Returns.” Journal of Financial Economics 99: 628–650. doi:10.1016/j.jfineco.2010.10.004.
  • Liu, W., X. Liang, and G. Cui. 2020. “Common Risk Factors in the Returns on Cryptocurrencies.” Economic Modelling 86: 299–305. doi:10.1016/j.econmod.2019.09.035.
  • Liu, Y., A. Tsyvinski, and I. Goldstein. 2021. “Risks and Returns of Cryptocurrency.” Review of Financial Studies 34: 2689–2727. doi:10.1093/rfs/hhaa113.
  • Newey, W., and K. West. 1987. “A Simple, Positive semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix.” Econometrica 55 (3): 703–708. doi:10.2307/1913610.
  • Pástor, Ľ., and R. F. Stambaugh. 2003. “Liquidity Risk and Expected Stock Returns.” Journal of Political Economy 111 (3): 642–685. doi:10.1086/374184.
  • Roll, R. 1984. “A Simple Implicit Measure of the Effective bid-ask Spread in an Efficient Market.” The Journal of Finance 39 (4): 1127–1139. doi:10.1111/j.1540-6261.1984.tb03897.x.
  • Shahzad, S. J. H., E. Bouri, T. Ahmad, M. A. Naeem, and X. V. Vo. 2021. “The Pricing of Bad Contagion in Cryptocurrencies: A four-factor Pricing Model.” Finance Research Letters 41: 101797. doi:10.1016/j.frl.2020.101797.
  • Shanken, J. 1992. “On the Estimation of beta-pricing Models.” Review of Financial Studies 5 (1): 1–33. doi:10.1093/rfs/5.1.1.
  • Shen, D., A. Urquhart, and P. Wang. 2020. “A three-factor Pricing Model for Cryptocurrencies.” Finance Research Letters 34: 101248. doi:10.1016/j.frl.2019.07.021.
  • Wang, Q., and T. T.-L. Chong. 2021. “Factor Pricing of Cryptocurrencies.” The North American Journal of Economics and Finance 57: 101348. doi:10.1016/j.najef.2020.101348.
  • Zhang, W., and Y. Li. 2021. “Liquidity Risk and Expected Cryptocurrency Returns.” International Journal of Finance & Economics. doi:10.1002/ijfe.2431.
  • Zhang, W., Y. Li, X. Xiong, and P. Wang. 2021. “Downside Risk and the cross-section of Cryptocurrency Returns.” Journal of Banking & Finance 133: 106246. doi:10.1016/j.jbankfin.2021.106246.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.