@article{KOCHLING201939,
title = {Price delay and market frictions in cryptocurrency markets},
author = {Gerrit Köchling and Janis Müller and Peter N Posch},
url = {https://www.sciencedirect.com/science/article/pii/S0165176518304361},
doi = {10.1016/j.econlet.2018.10.025},
issn = {0165-1765},
year = {2019},
date = {2019-01-01},
journal = {Economics Letters},
volume = {174},
pages = {39 - 41},
abstract = {We study the efficiency of cryptocurrencies by measuring the price’s reaction time to unexpected relevant information. We find the average price delay to significantly decrease during the last three years. For the cross-section of 75 cryptocurrencies we find delays to be highly correlated with liquidity.},
keywords = {cryptocurrency, Market efficiency, Price delay},
pubstate = {published},
tppubtype = {article}
}
We study the efficiency of cryptocurrencies by measuring the price’s reaction time to unexpected relevant information. We find the average price delay to significantly decrease during the last three years. For the cross-section of 75 cryptocurrencies we find delays to be highly correlated with liquidity.
