Date of Award
12-2021
Degree Type
Report
Degree Name
Master of Science (MS)
Department
Economics and Finance
Committee Chair(s)
Todd Griffith
Committee
Todd Griffith
Committee
Pedram Jahangiry
Committee
Paul Fjeldsted
Abstract
In this study, I examine the illiquidity premium amongst the 372 most actively traded cryptocurrencies from September 2014 to May 2021. I find that the average returns on the most illiquid cryptocurrencies are larger than those on the most liquid cryptocurrencies. My results are robust to different weighting mechanisms for the market index and to various asset pricing model specifications. These results suggest that an investor might be able to go long a portfolio of illiquid cryptocurrencies while simultaneously shorting a portfolio of liquid cryptocurrencies to effectively generate a positive risk-adjusted return.
Recommended Citation
Fitz, Wyatt, "A Reexamination of the Illiquidity Premium in Cryptocurrencies" (2021). All Graduate Plan B and other Reports, Spring 1920 to Spring 2023. 1609.
https://digitalcommons.usu.edu/gradreports/1609
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