Price delay and market frictions in cryptocurrency markets

被引：18

作者：

Koechling, Gerrit ^{[1
]}

Mueller, Janis ^{[1
]}

Posch, Peter N. ^{[1
]}

机构：

[1] TU Dortmund Univ, Fac Business & Econ, Chair Finance, Otto Hahn Str 6, D-44227 Dortmund, Germany

来源：

ECONOMICS LETTERS | 2019年 / 174卷

关键词：

Cryptocurrency; Price delay; Market efficiency; CROSS-SECTION; BITCOIN; INEFFICIENCY; EFFICIENCY;

D O I：

10.1016/j.econlet.2018.10.025

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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. (C) 2018 Elsevier B.V. All rights reserved.

引用

页码：39 / 41

页数：3

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