Price delay and market frictions in cryptocurrency markets

Gerrit Köchling, Janis Müller and Peter Posch

Economics Letters, 2019, vol. 174, issue C, 39-41

Abstract: We study the efficiency of cryptocurrencies by measuring the price’s reaction time to unexpected relevant information. We find the average price delay to significantly decrease during the last three years. For the cross-section of 75 cryptocurrencies we find delays to be highly correlated with liquidity.

Keywords: Cryptocurrency; Price delay; Market efficiency (search for similar items in EconPapers)
JEL-codes: G12 G14 G23 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (13)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:174:y:2019:i:c:p:39-41

DOI: 10.1016/j.econlet.2018.10.025

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