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Liquidity dynamics between virtual and equity markets

Huang, Sherena S.
Publication Date
2024-03
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Keywords
Crypto asset, Cryptocurrency, Systemic risk, Global market, Financial stability, Monetary policy
Rights
© 2023 The Author. Published by Elsevier B.V. This is an open access article under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).
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Peer-Reviewed
Yes
Open Access status
openAccess
Accepted for publication
23/12/2023
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Department
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Management and Law Publications
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Abstract
This paper estimates liquidity dynamics between virtual and real assets from multiple dimensions, namely market capacity, transaction cost and market efficiency. The data covers transaction information of crypto markets and four equity exchanges (US, UK, EU and Japan) between January 2019 and December 2022. The first result shows a two-way liquidity risk feedback loop between virtual and real markets, and the second result confirms dynamic liquidity interactions between them. The US market is identified as a transmitter rather than a receiver of liquidity risk but may not escape cumulative liquidity shocks.
URI
http://hdl.handle.net/10454/19767
Version
Published version
Citation
Huang SS (2023) Liquidity dynamics between virtual and equity markets. Journal of International Financial Markets, Institutions and Money. 91: 101917.
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Link to published version
Link to Version of Record
https://doi.org/10.1016/j.intfin.2023.101917
Type
Article
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