Relationships among return and liquidity of cryptocurrencies  

作　　者：Mianmian Zhang Bing Zhu Ziyuan Li Siyuan Jin Yong Xia 

机构地区：[1]HSBC Lab-China,Guangzhou,China [2]School of Business and Management,Hong Kong University of Science and Technology,Clear Water Bay,Hong Kong SAR,China

出　　处：《Financial Innovation》2024年第1期4225-4254,共30页金融创新(英文)

基　　金：supported by the award of“Pioneering Innovator”from Guangzhou Tianhe Distinct government.

摘　　要：The cryptocurrency market is a complex and rapidly evolving financial landscape in which understanding the inter-and intra-asset dependencies among key financial variables,such as return and liquidity,is crucial.In this study,we analyze daily return and liquidity data for six major cryptocurrencies,namely Bitcoin,Ethereum,Ripple,Binance Coin,Litecoin,and Dogecoin,spanning the period from June 3,2020,to November 30,2022.Liquidity is estimated using three low-frequency proxies:the Amihud ratio and the Abdi and Ranaldo(AR)and Corwin and Schultz(CS)estimators.To account for autoregressive and persistent effects,we apply the autoregressive integrated moving average-generalized autoregressive conditional heteroscedasticity(ARIMA-GARCH)model and subsequently utilize the copula method to examine the interdependent relationships between the return on and liquidity of the six cryptocurrencies.Our analysis reveals strong cross-asset lower-tail dependence in return and significant cross-asset upper-tail dependence in illiquidity measures,with more pronounced dependence observed in specific cryptocurrency pairs,primarily involving Bitcoin,Ethereum,and Litecoin.We also observe that returns tend to be higher when liquidity is lower in the cryptocurrency market.Our findings have significant implications for portfolio diversification,asset allocation,risk management,and trading strategy development for investors and traders,as well as regulatory policy-making for regulators.This study contributes to a deeper understanding of the cryptocurrency marketplace and can help inform investment decision making and regulatory policies in this emerging financial domain.

关 键 词：Cryptocurrency LIQUIDITY Dependence structure STATIONARY ARIMAGARCH model Copula model 

分 类 号：F82[经济管理—财政学]