Arbitrage across different Bitcoin exchange venues: Perspectives from investor base and market related events

【Author】 Shu, Ao; Cheng, Feiyang; Han, Jianlei; Liang, Zini; Pan, Zheyao

【Source】ACCOUNTING AND FINANCE

【影响因子】2.473

【Abstract】This paper examines the impact of market related events and investor base on the spread of Bitcoin prices between two exchange platforms, Coinbase and Binance. Based on high-frequency data samples collected from 2019 to 2021, we show how investors from different bases react differently to market related events, which create the price spreads between exchange platforms. We also identify the arbitrage opportunities these spreads create and establish arbitrage strategies for all identified events to exploit the variations in Bitcoin prices traded on both platforms. Findings indicate arbitrage offers profits that are higher overall than holding Bitcoin on either platform.

【Keywords】arbitrage; Binance; Bitcoin; Coinbase; investor base

【发表时间】2023 2023 MAY 14

【收录时间】2023-06-16

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-市场分析