Information Stress and Trading-Friction Resilience: Evidence from Public Sentiment and News Context in Cryptocurrency Markets

Abstract

This paper examines whether information stress affects trading frictions and liquidity resilience in cryptocurrency markets. Using public information proxies and OHLCV-based friction indicators, the analysis applies local projections to trace the response of trading conditions. The results show that information stress mainly affects trading frictions in the short run. Spread-based friction reacts immediately and recovers quickly, while the Amihud-based proxy adjusts more gradually. The cumulative effect is strongest in the early horizons and weaker over longer horizons. Overall, information stress creates temporary trading pressure rather than persistent deterioration in market resilience.