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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 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

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流动的现代性社会中新闻伦理的理念反思与维度重构

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新闻与传播 2024年第3期

作者：牛静胡文韬

流动的现代性社会打破了线性的社会组织结构和稳定的时空坐标，导致既有的秩序与规范加速液化。在此社会现实下，新闻业也呈现出流动性特征，表现为衣帽间式共同体建构复合型新闻生产场域、数字化转型升级再塑新闻生产流程、时空压缩形... 详细信息

流动的现代性社会打破了线性的社会组织结构和稳定的时空坐标，导致既有的秩序与规范加速液化。在此社会现实下，新闻业也呈现出流动性特征，表现为衣帽间式共同体建构复合型新闻生产场域、数字化转型升级再塑新闻生产流程、时空压缩形成全球性的流动新闻实践。这些变化带来了复杂而又多变的伦理道德问题，究其原因是传统新闻伦理以职业封闭性、条例规则性和标准普适性为建构逻辑，在多重流变的传播语境下缺乏实践的解释力和规制的约束力。所以可以将建构开放的、动态的、可对话的新闻伦理视为伦理建构的一个思考路径，以此来协调流动的现代性社会中新闻实践的主体、技术与多元文化间的关系。

关键词：新闻伦理流动性现代性维度重构　　journalistic ethics liquidity modernity dimensional reconstruction

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Informed Trading, Heterogeneity Investment, liquidity Shocks and the Valuation of Credit Default Swaps

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Journal of Shanghai Jiaotong university(Science) 2016年第1期21卷 69-80页

作者：杨星范纯李刚 College of Economics Jinan University Institute of Finance Yuexiu Financial Holdings Group Co. Ltd.

This paper explores the effect of informed trading, heterogeneity investment and liquidity shocks on the valuation of credit default swaps(CDSs). Under the condition of asymmetric information, the informed trading plays an important role in the valuation of CDS. Instruction order flow has a significant influence on CDS price.And the scope of influence changes in accordance with different time interval, company status and the size of bid-ask spread. Heterogeneity of investors seriously affects the market liquidity and subsequently affects the CDS price. The bigger heterogeneity of the investment philosophy, investment habits, investment preference and so on is the bigger risk for market liquidity, and the higher price for CDS shall be. On the contrary, the conclusion is also consistent. The effectiveness of liquidity, whether it is before or after the financial crisis, dominates the fluctuation of CDS price. The premium of liquidity accounts for 36% to 50% of the CDS price.

关键词： informed trading heterogeneity investment liquidity shocks valuation of credit default swaps

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The Impact of Initial Public Offering Lockup Expirations on liquidity:Evidence from Chinese Stock Market

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Journal of Shanghai Jiaotong university(Science) 2016年第1期21卷 81-89页

作者：储小俊 School of Economics and Management Nanjing University of Information Science & Technology Antai College of Economics and Management Shanghai Jiaotong University

Previous empirical evidence on the liquidity effect to the lockup expiration is mixed. A sample from Chinese listed firms is adopted and contributes to better understand this effect in emerging markets. The spread and illiquidity significantly increases around lockup expiration in China. Furthermore, the liquidity reaction to firms' disclosure quality is explicitly related. The results confirm that higher disclosure quality is significantly associated with lower abnormal spread and illiquidity impact. The effect of lockup expiration shares on liquidity proxies differs in firm disclosure quality. Identifying the factors affecting liquidity around such events may help regulators develop policies to provide investors with greater confidence in their investments.

关键词： initial public offering(IPO) lockup expirations liquidity insider trading

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Industry-and liquidity-based momentum in Australian equities

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Financial Innovation 2019年第1期5卷 740-757页

作者： Yeng May Tan Fan Fah Cheng School of Economics and Management Xiamen University MalaysiaJalan SunsuriaBandar Sunsuria43900 SepangSelangorMalaysia Department of Accounting and Finance Faculty of Economics and ManagementUniversiti Putra MalaysiaJalan Upm43400 SerdangSelangorMalaysia

This study examined momentum profitability in Australia,providing further evidence for intermediate-term momentum profitability.Using data spanning different market states,we found that momentum was stronger after the global financial crisis.We also examined industry-level momentum strategies and found strong evidence for industry momentum.Specifically,industries that perform well relative to other industries continue to outperform others while those that underperform continue to perform poorly.This finding suggests the exploitability of return continuation and profit-making opportunities for traders at the industry level.Regarding liquidity,we found that it has no clear predictive power for momentum returns.Hence,our results do not appear to support the conjecture that liquidity can be a determining factor for momentum profitability in Australia.

关键词： Momentum strategy Stock momentum Industry momentum liquidity Market states Australia

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Institutional Investors, Earnings Quality and Asset liquidity： Evidence from China＇s Stock Market

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Frontiers of Business Research in China 2012年第3期6卷 398-417页

作者： Dongmin Kong Shasha Liu Ting Lu Department of Finance School of EconomicsHuazhong University of Science andTechnologyWuhan 430074China Department of Finance Guanghua School of ManagementPeking UniversityBeijing 100871China Research Department The People's Bank of ChinaBeijing 100800China

This paper investigates how institutional holding and earnings quality influence the liquidity of assets. Contrary to findings in developed markets, we document several novel results in China＇s stock market：（1） institutional holding negatively affects assets＇ liquidity, （2） earnings quality is negatively related with liquidity. Since earnings quality captures asymmetric information, low earnings quality induces high divergence in investor opinions and thus boosts market trading, and （3） interestingly, the effect of earnings quality on liquidity is greater if institutional investors＇ holding is at a high level. Overall, our findings cast doubt on the conventional wisdom that institutional investors and earnings quality improve market liquidity. The results are robust to different measures and alternative model specifications.

关键词： institutional holding earnings quality liquidity China＇s stockmarket emerging stock market

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Divergence in reservation prices and its impact on housing market liquidity: A theoretical analysis

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Journal of Management Science and Engineering 2018年第3期3卷 141-157页

作者： Pu Gong Yunyi Zhang Huainan Zhao Department of Finance School of ManagementHuazhong University of Science and TechnologyWuhan 430074China School of Business and Economics Loughborough UniversityLoughborough LE113TUUK

In this paper,we build a two-period English auction model to study the relative movements between buyers'and sellers'reservation prices in the housing market.We show that changes in sellers'reservation prices are jointly determined by changes in buyers'reservation prices,probability of buyers offering a high or low price,and the arrival rate of buyers.When the divergence between the buyers'and sellers'reservation prices widens,the probability of sale increases in the upward market and decreases in the downward market,contributing to the increases or decreases in market liquidity.

关键词： Reservation Price Housing Market liquidity English Auction

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Manipulation of the Bitcoin market:an agent-based study

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Financial Innovation 2022年第1期8卷 1597-1625页

作者： Peter Fratrič Giovanni Sileno Sander Klous Tom van Engers Informatics Institute University of AmsterdamAmsterdamThe Netherlands Leibniz Institute TNO/University of AmsterdamAmsterdamThe Netherlands

Fraudulent actions of a trader or a group of traders can cause substantial disturbance to the market,both directly influencing the price of an asset or indirectly by misin-forming other market participants.Such behavior can be a source of systemic risk and increasing distrust for the market participants,consequences that call for viable countermeasures.Building on the foundations provided by the extant literature,this study aims to design an agent-based market model capable of reproducing the behavior of the Bitcoin market during the time of an alleged Bitcoin price manipulation that occurred between 2017 and early 2018.The model includes the mechanisms of a limit order book market and several agents associated with different trading strategies,including a fraudulent agent,initialized from empirical data and who performs market manipulation.The model is validated with respect to the Bitcoin price as well as the amount of Bitcoins obtained by the fraudulent agent and the traded volume.Simulation results provide a satisfactory fit to historical data.Several price dips and volume anomalies are explained by the actions of the fraudulent trader,completing the known body of evidence extracted from blockchain activity.The model suggests that the presence of the fraudulent agent was essential to obtain Bitcoin price development in the given time period;without this agent,it would have been very unlikely that the price had reached the heights as it did in late 2017.The insights gained from the model,especially the connection between liquidity and manipulation efficiency,unfold a discussion on how to prevent illicit behavior.

关键词： Agent-based modelling Cryptocurrency Market manipulation liquidity Bitcoin

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A theory of very short-time price change:security price drivers in times of high-frequency trading

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Financial Innovation 2022年第1期8卷 1800-1833页

作者： Gianluca P.M.Virgilio Universidad Católica Sedes Sapientiae Nueva CajamarcaPeru

Academic research has identified several factors that affect price movements;however,the scenario changes abruptly in the case of very short time price changes(VSTPC).This topic is not specifically examined in the existing literature;nonetheless,the behavior of the market microstructure is quite different at the subsecond scale.Indeed,below a certain psychological time threshold,most factors typically influencing price changes cease to apply.This paper analyzes several parameters considered to affect price changes and identifies four of them as potentially influencing VSTPC.These factors are previous volatility,scarce liquidity,high quantity exchanged,and stop-loss(SL)orders(seldom mentioned in the literature).These four parameters are examined by means of a mathematical model,audit trail data analysis,Granger-causality testing,and agent-based model.The results of these four techniques converge to suggest a nonlinear combination of previous volatility,liquidity,and SL orders as the main causes of excess volatility.However,contrary to mainstream literature on trading time above a certain psychological threshold,the volumes exchanged are not integral agents for VSTPC.Currently,financial markets face many ultrafast orders,yet a coherent theory of price change at time scales incomprehensible by humans and only manageable by computers is still lacking.The theory presented in this paper attempts to fill this gap.The outcome of such a theory is important for purposes of market stability,crisis avoidance,investment planning,risk management,and high-frequency trading.

关键词： High-frequency trading Subsecond time scale Volatility liquidity Exchange volume Stop-loss orders

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Stress Testing of liquidity Maturity Transformation Risk in Banks

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Management Studies 2018年第4期6卷 235-251页

作者： Eugenia Schmitt FinRiskConsult MunichGermany

One of the main causes of the past crisis was the inability of financial institutions to acquire funding at appropriate costs.The importance of applying a good liquidity risk measurement system becomes apparent.The present paper provides an approach to the measurement of liquidity maturity transformation risk within a stress testing framework,for middle-sized banks.The costs of liquidity arising due to a downturn in refinancing conditions are calculated by using modern risk measures.The forward-looking way is based on a liquidity gap report,where the consideration of the counterbalancing capacity enables to gain an insight into the real liquidity needs.The measurement of both,the portfolio-value in the respective time bucket and liquidity costs,is possible.Applying the expected shortfall can easily be included into the calculation.The results show that by using historical simulation,if no sufficient data are available,expected shortfall delivers an approximate value.Still,it can serve as an indicator of insurance against extreme events.The present approach combines a scenario-based view to a possible distress with a quantitative risk measurement.Therewith,it contributes to the bank’s wide stress testing as required by the regulatory authorities.

关键词： liquidity risk stress testing value at risk expected shortfall funding risk banking historical simulation,spread risk regulatory requirements

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