Equilibrium Pricing in Illiquid Crypto-currency Staking Markets

Speaker：Shen Ji, Associate Professor, Peking University

Host：Liu Yanchu, Professor, Lingnan College

Time and Date：16:00, May 8, 2026 (Friday)

Venue：W.T.Chan Auditorium, Lingnan Hall

Language：English + Chinese

Abstract：

The recent decades witness the burgeoning development of on-chain staking platform (DeFi). The paper constructs a unified framework to analyze the different venues for trading liquid tokens and illiquid tokens due to being staked. The economy is populated by long-lived cyrptocurrency investors with heterogeneous valuations, where an individual investor either chooses to hold liquid token or stake his token to a blockchain platform for extra reward at the loss of liquidity. We investigate the equilibrium pricing for both assets and analyze the factors and determinants of price gaps between liquid staking derivatives and underlying assets. Our empirical evidences, based on data from a large on-chain staking platform, are mostly consistent with predictions drawn from theoretical exploration. The research provides insights into cryptocurrency staking dynamics and structures relevant for investors and policy makers.

Profile:

Shen Ji is currently an Associate Professor in the Department of Finance, Guanghua School of Management, Peking University. He earned his PhD in Finance from the London School of Economics and Political Science (LSE). His main research interests include market microstructure, capital market regulation, and the digital economy. In recent years, he has published numerous papers in domestic and international academic journals, including Economic Research Journal, Journal of Financial Research, The World Economy, as well as Review of Financial Studies and Management Science.