Liquidity dynamics between virtual and equity markets

Sherena S. Huang

Journal of International Financial Markets, Institutions and Money, 2024, vol. 91, issue C

Abstract: This paper estimates liquidity dynamics between virtual and real assets from multiple dimensions, namely market capacity, transaction cost and market efficiency. The data covers transaction information of crypto markets and four equity exchanges (US, UK, EU and Japan) between January 2019 and December 2022. The first result shows a two-way liquidity risk feedback loop between virtual and real markets, and the second result confirms dynamic liquidity interactions between them. The US market is identified as a transmitter rather than a receiver of liquidity risk but may not escape cumulative liquidity shocks.

Keywords: Crypto asset; Cryptocurrency; Systemic risk; Global market; Financial stability; Monetary policy (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1042443123001853
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:91:y:2024:i:c:s1042443123001853

DOI: 10.1016/j.intfin.2023.101917

Access Statistics for this article

Journal of International Financial Markets, Institutions and Money is currently edited by I. Mathur and C. J. Neely

More articles in Journal of International Financial Markets, Institutions and Money from Elsevier
Bibliographic data for series maintained by Catherine Liu ().