Empirical analysis of liquidity thresholds for crypto assets

IF 4.1 3区管理学 Q2 BUSINESS

International Journal of Accounting Information Systems Pub Date : 2024-07-03 DOI:10.1016/j.accinf.2024.100699

Sheng-Feng Hsieh , Gerard Brennan , Alexander J. Sannella

引用次数: 0

Abstract

This study applies the methodology of the SEC (2018) to empirically determine thresholds for liquidity of crypto assets, utilizing two metrics for assessing liquidity: the Average Daily Volume (ADV) calculated by the number of units of crypto assets traded (ADV#) and by the traded dollar amounts (ADV$). Our findings reveal that the liquidity distribution patterns for both actively and thinly traded National Market System (NMS) stocks, alongside crypto-USD pairs, exhibit comparable trends. Notably, the liquidity threshold distributions remain stable despite the inclusion of crypto assets with very low unit prices; however, the volume of units traded does affect the distribution when ADV$ is used. This research contributes to the accounting field by offering a new approach to determine liquidity benchmarks for crypto assets, potentially guiding the assessment of whether a crypto asset is traded in an active or inactive market for fair value accounting purposes.

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加密资产流动性阈值的实证分析

本研究采用美国证券交易委员会（2018 年）的方法来实证确定加密资产的流动性阈值，利用两个指标来评估流动性：按加密资产交易单位数量计算的日均交易量（ADV）（ADV#）和按交易美元金额计算的日均交易量（ADV$）。我们的研究结果表明，交易活跃和交易清淡的全国市场系统（NMS）股票以及加密美元对的流动性分布模式都呈现出相似的趋势。值得注意的是，尽管纳入了单位价格非常低的加密资产，流动性阈值分布仍然保持稳定；但是，当使用 ADV$ 时，单位交易量确实会影响分布。这项研究为会计领域做出了贡献，它提供了一种确定加密资产流动性基准的新方法，有可能为评估加密资产是在活跃市场还是不活跃市场进行交易提供指导，从而达到公允价值会计的目的。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

International Journal of Accounting Information Systems Multiple-

CiteScore

9.00

自引率

6.50%

发文量

期刊介绍： The International Journal of Accounting Information Systems will publish thoughtful, well developed articles that examine the rapidly evolving relationship between accounting and information technology. Articles may range from empirical to analytical, from practice-based to the development of new techniques, but must be related to problems facing the integration of accounting and information technology. The journal will address (but will not limit itself to) the following specific issues: control and auditability of information systems; management of information technology; artificial intelligence research in accounting; development issues in accounting and information systems; human factors issues related to information technology; development of theories related to information technology; methodological issues in information technology research; information systems validation; human–computer interaction research in accounting information systems. The journal welcomes and encourages articles from both practitioners and academicians.