Price Delay and Market Frictions in Cryptocurrency Markets

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

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Year of publication:	2020
Authors:	Köchling, Gerrit
Other Persons:	Müller, Janis (contributor) ; Posch, Peter N. (contributor)
Publisher:	[2020]: [S.l.] : SSRN
Subject:	Virtuelle Währung \| Virtual currency \| Theorie \| Theory \| Marktmechanismus \| Market mechanism \| Unvollkommener Markt \| Incomplete market \| Asymmetrische Information \| Asymmetric information

Extent:	1 Online-Ressource (8 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Economics Letters, Vol. 174, 2019 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 5, 2018 erstellt
Classification:	G12 - Asset Pricing ; G14 - Information and Market Efficiency; Event Studies ; G23 - Pension Funds; Other Private Financial Institutions
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012850975