dc.contributor.author | Tinic, Murat | |
dc.contributor.author | Sensoy, Ahmet | |
dc.contributor.author | Akyildirim, Erdinc | |
dc.contributor.author | Corbet, Shaen | |
dc.date.accessioned | 2023-10-19T15:13:08Z | |
dc.date.available | 2023-10-19T15:13:08Z | |
dc.date.issued | 2023 | |
dc.identifier.issn | 0270-2592 | |
dc.identifier.issn | 1475-6803 | |
dc.identifier.uri | https://doi.org/10.1111/jfir.12317 | |
dc.identifier.uri | https://hdl.handle.net/20.500.12469/5613 | |
dc.description.abstract | In this article we investigate the influence that information asymmetry may have on 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. Also, our results suggest that adverse-selection costs, on average, correspond to 10% of the estimated effective spread, indicating an economically significant impact of adverse-selection risk on transaction costs in cryptocurrency markets. Finally, we document that adverse-selection costs are important predictors of intraday volatility, liquidity, market toxicity, and returns. | en_US |
dc.language.iso | eng | en_US |
dc.publisher | Wiley | en_US |
dc.relation.ispartof | Journal of Financial Research | en_US |
dc.rights | info:eu-repo/semantics/closedAccess | en_US |
dc.subject | Cross-Section | En_Us |
dc.subject | Liquidity | En_Us |
dc.subject | Ask | En_Us |
dc.subject | Exchange | En_Us |
dc.subject | Components | En_Us |
dc.subject | Prices | En_Us |
dc.title | Adverse selection in cryptocurrency markets | en_US |
dc.type | article | en_US |
dc.identifier.startpage | 497 | en_US |
dc.identifier.endpage | 546 | en_US |
dc.authorid | Corbet, Shaen/0000-0001-7430-7417 | |
dc.authorid | Sensoy, Ahmet/0000-0001-7967-5171 | |
dc.identifier.issue | 2 | en_US |
dc.identifier.volume | 46 | en_US |
dc.department | N/A | en_US |
dc.identifier.wos | WOS:000919269700001 | en_US |
dc.identifier.doi | 10.1111/jfir.12317 | en_US |
dc.identifier.scopus | 2-s2.0-85147380548 | en_US |
dc.institutionauthor | N/A | |
dc.relation.publicationcategory | Makale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı | en_US |
dc.authorwosid | akyildirim, erdinc/C-4935-2016 | |
dc.authorwosid | Corbet, Shaen/B-4869-2017 | |
dc.authorwosid | Sensoy, Ahmet/AAB-6160-2020 | |
dc.khas | 20231019-WoS | en_US |