Adverse selection in cryptocurrency markets

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buir.contributor.authorŞensoy, Ahmet
buir.contributor.orcidŞensoy, Ahmet|0000-0001-7967-5171
dc.citation.epage546en_US
dc.citation.issueNumber2
dc.citation.spage497
dc.citation.volumeNumber46
dc.contributor.authorTiniç, M.
dc.contributor.authorŞensoy, Ahmet
dc.contributor.authorAkyıldırım, Erdinç
dc.contributor.authorCorbet, S.
dc.date.accessioned2024-03-12T11:31:32Z
dc.date.available2024-03-12T11:31:32Z
dc.date.issued2023-01-11
dc.departmentDepartment of Management
dc.description.abstractIn 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.
dc.description.provenanceMade available in DSpace on 2024-03-12T11:31:32Z (GMT). No. of bitstreams: 1 Adverse_selection_in_cryptocurrency_markets.pdf: 1855276 bytes, checksum: 7efe22f3bac421751d37e87aaf5d9fd3 (MD5) Previous issue date: 2023-01-11en
dc.identifier.doi10.1111/jfir.12317
dc.identifier.eissn1475-6803
dc.identifier.issn0270-2592
dc.identifier.urihttps://hdl.handle.net/11693/114594
dc.language.isoen
dc.publisherWiley
dc.relation.isversionofhttps://doi.org/10.1111/jfir.12317
dc.rightsCC BY
dc.rights.urihttps://creativecommons.org/licenses/by/4.0/
dc.source.titleJournal of Financial Research
dc.titleAdverse selection in cryptocurrency markets
dc.typeArticle

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