In this paper I document a positive relation between the volatility of liquidity and expected returns. Specifically, I analyze the relationship between the idiosyncratic volatility of market liquidity and the returns of the five largest cryptocurrencies by market capitalization. I find that the correlation between liquidity volatility and returns is overall significantly positive, but highly time-varying. This implies that investors demand a premium for a high variation in liquidity volatility. I furthermore find that the correlation between returns and the level of liquidity is mostly positive, thus, when liquidity is low, expected returns are high. The results corroborates results from other financial markets.

在本文中，我记录了流动性波动与预期回报之间的正相关关系。具体来说，我分析了市场流动性的特殊波动与市值最大的五种加密货币的回报之间的关系。我发现流动性波动性和回报之间的相关性总体上显着正相关，但随时间变化很大。这意味着投资者要求对流动性波动的高变化进行溢价。我进一步发现回报与流动性水平之间的相关性大多为正，因此，当流动性较低时，预期回报较高。结果证实了其他金融市场的结果。