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Liquidity connectedness in cryptocurrency market
Mudassar Hasan1, Muhammad Abubakr Naeem2,3, Muhammad Arif4
1Lahore Business School, The University of Lahore, Lahore, Pakistan.
Financial Innovation
|January 24, 2022
Summary
Liquidity connectedness in major cryptocurrencies like Bitcoin and Ethereum is moderate but growing. Short-term shocks are led by Bitcoin, Litecoin, and Ripple, while Ethereum leads in the long run.
Area of Science:
- * Financial Economics
- * Cryptocurrency Market Analysis
Background:
- * Understanding liquidity dynamics is crucial in the volatile cryptocurrency market.
- * Previous research has not fully explored the time-frequency dynamics of liquidity connectedness across major digital assets.
Purpose of the Study:
- * To investigate the liquidity connectedness among six major cryptocurrencies: Bitcoin (BTC), Litecoin (LTC), Ethereum (ETH), Ripple (XRP), Monero (XMR), and Dash.
- * To analyze the time-frequency properties and evolution of this connectedness.
Main Methods:
- * Application of Diebold and Yilmaz's (2012) and Baruník and Křehlík's (2018) connectedness models.
- * Utilized static, frequency domain, and time-varying analyses.
Main Results:
- * Moderate static liquidity connectedness observed, with BTC and LTC as key drivers.
- * Two distinct liquidity clusters identified: (BTC, LTC, XRP) and (ETH, XMR, Dash).
- * Liquidity connectedness is more pronounced in the short-run, with BTC, LTC, and XRP leading shocks, while ETH leads in the long-run.
- * Increasing trend in liquidity connectedness over time, especially in short and long runs.
Conclusions:
- * Cryptocurrency liquidity connectedness is a time-frequency dependent phenomenon.
- * The growing connectedness suggests increased market integration and potential impact of rising demand and acceptance.
- * Distinct clustering patterns highlight interdependencies within specific groups of cryptocurrencies.
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