Journal
FINANCE RESEARCH LETTERS
Volume 41, Issue -, Pages -Publisher
ACADEMIC PRESS INC ELSEVIER SCIENCE
DOI: 10.1016/j.frl.2020.101799
Keywords
Cryptocurrency; liquidity; bid-ask spread; Amihud ratio; event study
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The study shows that positive and negative news have significant effects on the liquidity of cryptocurrencies, with the effects of positive news lasting longer than negative news. Evidence of information leakage before news announcements is also revealed, indicating that positive (negative) news leads to an increase (decrease) in cryptocurrency returns.
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.
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