Impermanent loss in cryptocurrency

IF 3.6 2区经济学 Q2 BUSINESS, FINANCE

Journal of International Money and Finance Pub Date : 2026-01-01 Epub Date: 2025-11-19 DOI:10.1016/j.jimonfin.2025.103476

Gang Chu , Michael Dowling , Xiao Li

引用次数: 0

Abstract

Impermanent loss risk is a unique risk related to liquidity provision to cryptocurrency exchange pools in Decentralized Finance (DeFi) protocols. To better understand the characteristics of this emergent risk, we first identify the determinants of impermanent loss risk across 1,715 liquidity pools traded on the two largest exchanges. We then explore how impermanent loss is priced in the cross-section of cryptocurrency liquidity pool expected returns. Through a series of portfolio analyses, we document a significantly positive cross-sectional relationship between impermanent loss risk and expected returns. Drawing on a liquidity-based hypothesis, we further demonstrate how the presence of impermanent loss risk impedes liquidity provision and accelerates liquidity demand. Collectively, our results provide strong evidence supporting the important role of impermanent loss risk in determining cryptocurrency liquidity pool returns.

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加密货币的暂时损失

非永久性损失风险是与去中心化金融（DeFi）协议中加密货币交换池的流动性提供相关的一种独特风险。为了更好地理解这种紧急风险的特征，我们首先确定了在两个最大的交易所交易的1,715个流动性池中的非永久性损失风险的决定因素。然后，我们探讨了短期损失是如何在加密货币流动性池预期回报的横截面中定价的。通过一系列的投资组合分析，我们证明了非永久性损失风险与预期收益之间的显著正截面关系。利用基于流动性的假设，我们进一步证明了非永久性损失风险的存在如何阻碍流动性提供并加速流动性需求。总的来说，我们的研究结果提供了强有力的证据，支持无常损失风险在决定加密货币流动性池回报方面的重要作用。

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

Journal of International Money and Finance BUSINESS, FINANCE-

CiteScore

4.20

自引率

4.00%

发文量

141

期刊介绍： Since its launch in 1982, Journal of International Money and Finance has built up a solid reputation as a high quality scholarly journal devoted to theoretical and empirical research in the fields of international monetary economics, international finance, and the rapidly developing overlap area between the two. Researchers in these areas, and financial market professionals too, pay attention to the articles that the journal publishes. Authors published in the journal are in the forefront of scholarly research on exchange rate behaviour, foreign exchange options, international capital markets, international monetary and fiscal policy, international transmission and related questions.