Abstract
ABSTRACT Motivated by the unique transaction cost structure of the cryptocurrency (CC) market1 1 The authors thank the anonymous reviewer for the review of the manuscript and the insightful comments. , this study investigates the phenomenon of liquidity commonality across a sample of 53 CCs. The study employs the google search volume index (GSVI) measure to capture the retail investor’s attention towards the CC market. Using the quantile regression method, we document the liquidity dynamics of CCs that is contrasting to other asset classes, and is ascribed to its unique transaction cost structure. In view of the relatively high liquidity commonality levels found in the CC market, this paper sounds a note of caution to retail investors on episodic non-availability of liquidity in CCs.
Sign-in/Register to access full text options 
Free) 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call
