Sheng-Feng Hsieh , Gerard Brennan , Alexander J. Sannella
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Empirical analysis of liquidity thresholds for crypto assets
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.
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.