Liquidity connectedness in cryptocurrency market  

作　　者：Mudassar Hasan Muhammad Abubakr Naeem Muhammad Arif Syed Jawad Hussain Shahzad Xuan Vinh Vo 

机构地区：[1]Lahore Business School,The University of Lahore,Lahore,Pakistan [2]Smurfit Graduate School of Business,University Col-lege Dublin,Dublin,Ireland [3]Institute of Business Research,University of Economics Ho Chi Minh City,Ho Chi Minh City,Vietnam [4]Department of Business Administration,Shaheed Benazir Bhutto University,Shaheed Benazirabad,Pakistan [5]Montpellier Business School,Montpellier,France [6]South Ural State University,Chelyabinsk,Russian Federation [7]Institute of Business Research and CFVG,University of Economics Ho Chi Minh City,Ho Chi Minh City,Vietnam

出　　处：《Financial Innovation》2022年第1期81-105,共25页金融创新（英文）

基　　金：support of Science Foundation Ireland under Grant Number 16/SPP/3347.

摘　　要：We examine the dynamics of liquidity connectedness in the cryptocurrency market.We use the connectedness models of Diebold and Yilmaz(Int J Forecast 28(1):57–66,2012)and Baruník and Křehlík(J Financ Econom 16(2):271–296,2018)on a sample of six major cryptocurrencies,namely,Bitcoin(BTC),Litecoin(LTC),Ethereum(ETH),Ripple(XRP),Monero(XMR),and Dash.Our static analysis reveals a moderate liquidity connectedness among our sample cryptocurrencies,whereas BTC and LTC play a significant role in connectedness magnitude.A distinct liquidity cluster is observed for BTC,LTC,and XRP,and ETH,XMR,and Dash also form another distinct liquidity cluster.The frequency domain analysis reveals that liquidity connectedness is more pronounced in the short-run time horizon than the medium-and long-run time horizons.In the short run,BTC,LTC,and XRP are the leading contributor to liquidity shocks,whereas,in the long run,ETH assumes this role.Compared with the medium term,a tight liquidity clustering is found in the short and long terms.The time-varying analysis indicates that liquidity connectedness in the cryptocurrency market increases over time,pointing to the possible effect of rising demand and higher acceptability for this unique asset.Furthermore,more pronounced liquidity connectedness patterns are observed over the short and long run,reinforcing that liquidity connectedness in the cryptocurrency market is a phenomenon dependent on the time–frequency connectedness.

关 键 词：LIQUIDITY Time-frequency connectedness Cryptocurrencies 

分 类 号：F821[经济管理—财政学]