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Liquidity commonality in cryptocurrencies

Author

Listed:
  • Liu, Wenqiong
  • Bao, Xiaohan
  • Han, Xing
  • Li, Youwei

Abstract

This study investigates the cryptocurrency market’s microstructure, focusing on liquidity, liquidity commonality, and seasonality patterns. We find an inverted U-shaped pattern in the daily bid–ask spread, trading volume, and volatility within a week. Furthermore, a strong liquidity commonality exists across cryptocurrencies, indicating co-movement of a coin’s liquidity with the overall market liquidity. Moreover, the liquidity commonality peaks midweek and declines over the weekend. These seasonal patterns persist for the largest cryptocurrency after controlling for additional liquidity determinants.

Suggested Citation

  • Liu, Wenqiong & Bao, Xiaohan & Han, Xing & Li, Youwei, 2025. "Liquidity commonality in cryptocurrencies," Finance Research Letters, Elsevier, vol. 85(PD).
    • Handle: RePEc:eee:finlet:v:85:y:2025:i:pd:s1544612325014424
    DOI: 10.1016/j.frl.2025.108187
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    References listed on IDEAS

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