Returns from liquidity provision in cryptocurrency markets
研究了加密货币市场中通过短期反转策略获得的流动性供给溢价，发现其可被波动率指数、风险厌恶等指标预测，且与中心化与去中心化交易所的竞争有关。
We examine the liquidity provision premium in cryptocurrency markets using the returns from the short reversal strategy. We show that returns from liquidity provision can be predicted using the volatility index, realized variance, risk aversion, crash risk, tail risk, and innovations of Tether liquidity. We also find that<br/>an increase in the liquidity provision premium is associated with a decline in liquidity, trading volume, and transaction count, as well as more withdrawals, higher fees, and greater impermanent loss on Uniswap.<br/>This suggests potential competition between centralized and decentralized exchanges. Further, the liquidity provision premium of stock markets in China and Japan positively predicts the premium of cryptocurrency markets (effect of a common shock), meanwhile that of stock markets in the US and Canada negatively predicts the premium of cryptocurrency markets (substitution effect).