Bitcoin exchange rates: How integrated are markets?

Brauneis, Alexander ; Mestel, Roland ; Riordan, Ryan ; Theissen, Erik

Document Type: Working paper
Year of publication: 2018
The title of a journal, publication series: SSRN Working Paper Series
Place of publication: Rochester, NY
Edition: Rev. 2019
Publication language: English
Institution: Business School > ABWL u. Finanzierung (Theissen 2009-)
Subject: 330 Economics
Keywords (English): Bitcoin , Cryptocurrencies , Market Integration , Liquidity , Bid-Ask Spread
Abstract: We study trading of Bitcoin against US dollar (BTCUSD) on exchanges in three continents, Bitfinex, Bitstamp and Coinbase Pro. We use a high frequency dataset that contains transactions and order book information. The BTCUSD market is highly liquid in terms of bid-ask spreads and order book depth. While spreads are even lower than in equity markets, prices are not integrated across exchanges. Persistent differences exist between the three exchanges in terms of trade prices and posted prices often violating no-arbitrage assumptions. The liquidity of the Bitcoin exchanges is predominantly determined by local factors and is essentially independent of liquidity in equity and FX markets. This suggests that despite the virtual nature of Bitcoin, local jurisdictional factors affect the flow of capital between low and high price jurisdictions.

Dieser Eintrag ist Teil der Universitätsbibliographie.

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