**3. Data and Methodology**

This study has undertaken the strenuous task of investigating the level of liquidity of cryptocurrencies during the second phase of bearish behavior in the digital coins market. In order to provide the most representative view of liquidity in virtual currencies, we have downloaded, from the reliable source of *coinmarketcap.com*, the full spectrum of such currencies that existed on 12 February 2019. This has led to a total number of over 1900 coins from which we have short-listed only those that did not have gaps in the time series of their quotes. Thereby, the final sample consists of 846 digital currencies that cover the extra-bearish period of 1 April 2018 to 31 January 2019. All quotes about prices and trading volume are in daily frequencies.

The methodology employed for our estimations is based on the well-known Amihud's illiquidity ratio based on Amihud (2002), which takes the following form:

$$
\Pi \textit{liq} \textit{u} \textit{i} \textit{d} \textit{t} \textit{y}\_T^{\bar{i}} = \frac{1}{D\tau} \sum\_{t=1}^{D\tau} \frac{\left| \mathcal{R}\_t^{\bar{i}} \right|}{P\_t^{\bar{i}} V\_t^{\bar{i}}}
$$

where *DT* represents the number of traded days during the period examined, *Ri t*,*T* stands for the daily return of digital currency *i* on day *t*, *Vi t* is the volume traded of asset *i* in day *t* and *Pi t* represents the daily price of cryptocurrency *i* on day *t*. All market prices of digital coins are expressed in relation to US dollars. It should be noted that the currencies that exhibit low values of the Amihud's illiquidity ratio are considered to the most liquid.
