Price Delay and Market Efficiency of Cryptocurrencies: The Impact of Liquidity and Volatility during the COVID-19 Pandemic
Barbara Abou Tanos,
Georges Badr
Abstract:The rise of cryptocurrencies as alternative financial investments, with potential safe-haven and hedging properties, highlights the need to examine their market efficiency. This study is the first to investigate the combined impact of liquidity and volatility features of cryptocurrencies on their price delays. Using a wide spectrum of cryptocurrencies, we investigate whether the COVID-19 outbreak has affected market efficiency by studying price delays to market information. We find that as liquidity increases … Show more
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