Adverse selection in cryptocurrency markets
(2023)
Journal Article
Tiniç, M., Sensoy, A., Akyildirim, E., & Corbet, S. (2023). Adverse selection in cryptocurrency markets. Journal of Financial Research, 46(2), 497-546. https://doi.org/10.1111/jfir.12317
In this article we investigate the influence that information asymmetry may have on future volatility, liquidity, market toxicity, and returns within cryptocurrency markets. We use the adverse-selection component of the effective spread as a proxy fo... Read More about Adverse selection in cryptocurrency markets.