Corbet Shaen, Hou Yang Greg, Hu Yang, Larkin Charles, Lucey Brian, Oxley Les
DCU Business School, Dublin City University, Dublin 9, Ireland.
School of Accounting, Finance and Economics, University of Waikato, New Zealand.
Financ Res Lett. 2022 Mar;45:102137. doi: 10.1016/j.frl.2021.102137. Epub 2021 May 16.
We examine the interactions between cryptocurrency price volatility and liquidity during the outbreak of the COVID-19 pandemic. Evidence suggests that these developing digital products have played a new role as a potential safe-haven during periods of substantial financial market panic. Results suggest that cryptocurrency market liquidity increased significantly after the WHO identification of a worldwide pandemic. Significant and substantial interactions between cryptocurrency price and liquidity effects are identified. These results add further support to the argument that substantial flows of investment entered cryptocurrency markets in search of an investment safe-haven during this exceptional black-swan event.
我们研究了新冠疫情爆发期间加密货币价格波动与流动性之间的相互作用。有证据表明，这些新兴的数字产品在金融市场大幅恐慌期间，作为一种潜在的避险资产发挥了新的作用。结果表明，在世界卫生组织确认全球大流行后，加密货币市场流动性显著增加。我们发现加密货币价格与流动性效应之间存在显著且实质性的相互作用。这些结果进一步支持了这样一种观点，即在这一特殊的黑天鹅事件期间，大量投资资金流入加密货币市场以寻求投资避险资产。
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