Adverse selection in cryptocurrency markets

dc.authorid Corbet, Shaen/0000-0001-7430-7417
dc.authorid Sensoy, Ahmet/0000-0001-7967-5171
dc.authorwosid akyildirim, erdinc/C-4935-2016
dc.authorwosid Corbet, Shaen/B-4869-2017
dc.authorwosid Sensoy, Ahmet/AAB-6160-2020
dc.contributor.author Tiniç, Murat
dc.contributor.author Sensoy, Ahmet
dc.contributor.author Akyildirim, Erdinc
dc.contributor.author Corbet, Shaen
dc.contributor.other International Trade and Finance
dc.date.accessioned 2023-10-19T15:13:08Z
dc.date.available 2023-10-19T15:13:08Z
dc.date.issued 2023
dc.department-temp [Tinic, Murat] Kadir Has Univ, Dept Int Trade & Finance, Kadir Has Caddesi, TR-34083 Istanbul, Turkiye; [Sensoy, Ahmet] Bilkent Univ, Fac Business Adm, TR-06800 Ankara, Turkiye; [Sensoy, Ahmet] Lebanese Amer Univ, Adnan Kassar Sch Business, Beirut, Lebanon; [Akyildirim, Erdinc] Univ Bradford, Sch Management, Bradford, W Yorkshire, England; [Corbet, Shaen] Dublin City Univ, DCU Business Sch, Dublin 9, Ireland; [Corbet, Shaen] Univ Waikato, Sch Accounting Finance & Econ, Hamilton, New Zealand en_US
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.identifier.citationcount 0
dc.identifier.doi 10.1111/jfir.12317 en_US
dc.identifier.endpage 546 en_US
dc.identifier.issn 0270-2592
dc.identifier.issn 1475-6803
dc.identifier.issue 2 en_US
dc.identifier.scopus 2-s2.0-85147380548 en_US
dc.identifier.scopusquality Q2
dc.identifier.startpage 497 en_US
dc.identifier.uri https://doi.org/10.1111/jfir.12317
dc.identifier.uri https://hdl.handle.net/20.500.12469/5613
dc.identifier.volume 46 en_US
dc.identifier.wos WOS:000919269700001 en_US
dc.identifier.wosquality Q3
dc.khas 20231019-WoS en_US
dc.language.iso en en_US
dc.publisher Wiley en_US
dc.relation.ispartof Journal of Financial Research en_US
dc.relation.publicationcategory Makale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı en_US
dc.rights info:eu-repo/semantics/closedAccess en_US
dc.scopus.citedbyCount 3
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.subject Cross-Section
dc.subject Liquidity
dc.subject Ask
dc.subject Exchange
dc.subject Components
dc.subject Prices
dc.title Adverse selection in cryptocurrency markets en_US
dc.type Article en_US
dc.wos.citedbyCount 3
dspace.entity.type Publication
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relation.isOrgUnitOfPublication.latestForDiscovery 16202dfd-a149-4884-98fb-ada5f8c12918

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