Liquidity and market efficiency in cryptocurrencies

Wang Chun Wei

Economics Letters, 2018, vol. 168, issue C, 21-24

Abstract: We examine the liquidity of 456 different cryptocurrencies, and show that return predictability diminishes in cryptocurrencies with high market liquidity. We show that whilst Bitcoin returns are showing signs of efficiency, numerous cryptocurrencies still exhibit signs of autocorrelation and non-independence. Our findings also show a strong relationship between the Hurst exponent and liquidity on a cross-sectional basis. Therefore, we conclude that liquidity plays a significant role in market efficiency and return predictability of new cryptocurrencies.

Keywords: Bitcoin; Cryptocurrency; Market efficiency; Market liquidity (search for similar items in EconPapers)
JEL-codes: C01 G12 G14 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (162)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:168:y:2018:i:c:p:21-24

DOI: 10.1016/j.econlet.2018.04.003

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