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Price dispersion in bitcoin exchanges

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  • Tsang, Kwok Ping
  • Yang, Zichao

Abstract

Bitcoin is traded in a number of exchanges, and there is a large and time-varying price dispersion among them. We identify the sources of price dispersion using a standard time-varying vector autoregression model with stochastic volatility, and we find that shocks to transaction fees and bitcoin price growth explain on average 20%, and sometimes more than 60%, of the variation of price dispersion.

Suggested Citation

  • Tsang, Kwok Ping & Yang, Zichao, 2020. "Price dispersion in bitcoin exchanges," Economics Letters, Elsevier, vol. 194(C).
    • Handle: RePEc:eee:ecolet:v:194:y:2020:i:c:s0165176520302391
    DOI: 10.1016/j.econlet.2020.109379
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    References listed on IDEAS

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    More about this item

    Keywords

    Bitcoin; Transaction fees; Price growth; price dispersion;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • O33 - Economic Development, Innovation, Technological Change, and Growth - - Innovation; Research and Development; Technological Change; Intellectual Property Rights - - - Technological Change: Choices and Consequences; Diffusion Processes

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