Arbitrage across different Bitcoin exchange venues: Perspectives from investor base and market related events-Reference-Cited by-同舟云学术

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

Published:2023-05-14 Issue:5 Volume:63 Page:5183-5210
ISSN:0810-5391
Container-title:Accounting & Finance
language:en
Short-container-title:Accounting & Finance

Author:

Shu Ao¹,Cheng Feiyang²³^ORCID,Han Jianlei²,Liang Zini²,Pan Zheyao²^ORCID

Affiliation:

1. Business School Hunan University Changsha China

2. Macquarie Business School Macquarie University Sydney New South Wales Australia

3. College of Management and Economics Tianjin University Tianjin China

Abstract

AbstractThis 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.

Publisher

Wiley

Subject

Economics, Econometrics and Finance (miscellaneous),Finance,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1111/acfi.13102

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