Yes / This paper investigates the influence that information asymmetry may possess upon the
future volatility, liquidity, market toxicity and returns within cryptocurrency markets. We use
the adverse selection component of the effective spread as a proxy for overall information asymmetry. Using order and trade data from the Bitfinex Exchange, we first document statistically
significant adverse selection costs for major cryptocurrencies. Our results also suggest that adverse selection costs, on average, correspond to ten percent of the estimated effective spread,
indicating an economically significant impact of adverse selection risk on transaction costs in
cryptocurrency markets. We finally document that adverse selection costs are important predictors of intraday volatility, liquidity, market toxicity, and returns. / Türkiye Bilimler Akademisi. Grant Number: Outstanding Young Scientist. / The full-text of this article will be released for public view at the end of the publisher embargo on 11 Jan 2025.
| Identifer | oai:union.ndltd.org:BRADFORD/oai:bradscholars.brad.ac.uk:10454/19395 |
| Date | 31 March 2023 |
| Creators | Tiniç, M., Sensoy, A., Akyildirim, Erdinc, Corbet, S. |
| Source Sets | Bradford Scholars |
| Language | English |
| Detected Language | English |
| Type | Article, Accepted manuscript |
| Rights | © 2023 The Southern Finance Association and the Southwestern Finance Association. This is the peer reviewed version of the following article: Tiniç M, Sensoy A, Akyildirim E et al (2023) Adverse selection in cryptocurrency markets. The Journal of Financial Research. Accepted for Publication., which has been published in final form at https://doi.org/10.1111/jfir.12317. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Self-Archiving., Unspecified |
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