Asymmetric News Effects on Cryptocurrency Liquidity: an Event Study Perspective

Wei Yue, Sijia Zhang and Qiang Zhang

Finance Research Letters, 2021, vol. 41, issue C

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.

Keywords: Cryptocurrency; liquidity; bid-ask spread; Amihud ratio; event study (search for similar items in EconPapers)
JEL-codes: G14 G15 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:41:y:2021:i:c:s1544612320316135

DOI: 10.1016/j.frl.2020.101799

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