Open AccessCrypto Market and Liquidity Risk in Environments due to Pandemic Uncertainty
Author(s) -
Jawad Saleemi
Publication year - 2022
Publication title -
journal of contemporary research in business, economics and finance
Language(s) - English
Resource type - Journals
ISSN - 2641-0265
DOI - 10.55214/jcrbef.v3i4.164
Subject(s) - market liquidity , pandemic , liquidity crisis , position (finance) , monetary economics , economics , cryptocurrency , liquidity premium , liquidity risk , work (physics) , covid-19 , financial economics , business , finance , computer science , medicine , mechanical engineering , computer security , disease , pathology , infectious disease (medical specialty) , engineering
The recent pandemic is still under debate and is raising concerns about future economic perspectives. This work investigates whether liquidity is priced in various cryptocurrencies’ returns, and if the relationship has been affected during the COVID-19 period. In a particular trading session analyzed before the pandemic uncertainty, liquidity was priced in returns on Bitcoin, Cardano, and XRP. However, the findings have changed due to the pandemic crisis. During the pandemic uncertainty, liquidity was found to be priced in Cardano returns during the same trading session. In addition, the liquidity cost imposed against accepting the position of Tether on day t-1 was noted to be priced in its returns for day t.