How investible is Bitcoin? Analyzing the liquidity and transaction costs of Bitcoin markets

【Author】 Dyhrberg, Anne H.; Foley, Sean; Svec, Jiri

【Source】ECONOMICS LETTERS

【影响因子】1.469

【Abstract】We examine the investibility of Bitcoin by exploring the trading dynamics and market microstructure of Bitcoin on three US cryptocurrency exchanges using high frequency intraday data of individual trades and quotes. Although all exchanges offer continuous trading, we find that the highest trading activity, highest volatility and lowest spreads coincide with US market trading hours, suggesting that most trades are non-algorithmic and executed by retail investors. We further find that average quoted and effective spreads for Bitcoin are lower than spreads on major equity exchanges, implying that Bitcoin is highly investible for retail size transactions. (C) 2018 Elsevier B.V. All rights reserved.

【Keywords】Bitcoin; Cryptocurrency; Market microstructure; Intraday patterns

【发表时间】2018 OCT

【收录时间】2022-01-02

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