Liquidity dynamics between virtual and equity markets

被引：0
|
作者：
Huang, Sherena S. [1 ]
机构：
[1] Univ Bradford, Accounting Finance & Econ Ctr AFE, Room 0-06,Pemberton Bldg,Richmond Rd, Bradford BD71DP, Yorks, England
来源：
JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY | 2024年 / 91卷
关键词：
Crypto asset; Cryptocurrency; Systemic risk; Global market; Financial stability; Monetary policy; STOCK RETURNS; COMMONALITY; HETEROSKEDASTICITY; COINTEGRATION; ILLIQUIDITY;
D O I：
10.1016/j.intfin.2023.101917
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
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.
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页数：17
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