数字加密货币
市场流动性
背景(考古学)
经济
业务
货币经济学
计算机安全
地理
考古
计算机科学
作者
Saliha Theiri,Ramzi Nekhili,Jahangir Sultan
出处
期刊:The Journal of Risk Finance
[Emerald (MCB UP)]
日期:2022-10-04
卷期号:24 (1): 59-71
被引量:5
标识
DOI:10.1108/jrf-05-2022-0103
摘要
Purpose This study examine the response of liquidity of Bitcoin and Ethereum to the Russia-Ukraine war in an event study context and investigate whether the war had a transitory or a permanent effect on cryptocurrency liquidity. Design/methodology/approach A event study was applied to hourly transactions on Bitcoin and Ethereum cryptocurrencies from 1/02/2022 to 31/03/2022. This is period is subdivided in two sample periods to capture transitory and permanent effects. The transitory effect is investigated over a window spanning -20 and +20 days. For a more extended post-event period, a linear regression model was applied to analyze the effects of other factors on the liquidity risk of BTC and ETH. Findings The findings reveal a significant but temporary impact of the Russia–Ukraine war on the liquidity of Bitcoin and Ethereum. Liquidity levels have increased within the first two days around the event day and then returned to the pre-event level after that. However, the response of BTC and ETH cryptocurrencies' liquidities to the Russian invasion of Ukraine is not uniform. Originality/value This is the first paper that assesses the liquidity level of two major cryptocurrencies (Bitcoin and Ethereum) in response to an extreme event: the Russia–Ukraine war. The hypothesis is that trading in the cryptocurrency market will increase due to market participants' goal of evading regulatory sanctions. Furthermore, market participants may also take advantage of cryptocurrencies' popularity as safe-haven assets.
科研通智能强力驱动
Strongly Powered by AbleSci AI