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Liquidity connectedness in cryptocurrency market

Financial Innovation 2022年第1期8卷 81-105页

作者： Mudassar Hasan Muhammad Abubakr Naeem Muhammad Arif Syed Jawad Hussain Shahzad Xuan Vinh Vo Lahore Business School The University of LahoreLahorePakistan Smurfit Graduate School of Business University Col-lege DublinDublinIreland Institute of Business Research University of Economics Ho Chi Minh CityHo Chi Minh CityVietnam Department of Business Administration Shaheed Benazir Bhutto UniversityShaheed BenazirabadPakistan Montpellier Business School MontpellierFrance South Ural State University ChelyabinskRussian Federation Institute of Business Research and CFVG University of Economics Ho Chi Minh CityHo Chi Minh CityVietnam

We examine the dynamics of liquidity connectedness in the cryptocurrency *** 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 *** 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 *** frequency domain analysis reveals that liquidity connectedness is more pronounced in the short-run time horizon than the medium-and long-run time *** the short run,BTC,LTC,and XRP are the leading contributor to liquidity shocks,whereas,in the long run,ETH assumes this *** with the medium term,a tight liquidity clustering is found in the short and long *** 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 ***,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

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