This paper studies the efficiency of the cryptocurrency market by looking at the distribution of bitcoin prices over time and across exchange-currency pairs. We document persistent differences in relative bitcoin prices (or discounts), with a half-life of 1 day, and a distribution which is leptokurtic, skewed to the right, with a standard deviation of 3.9%. The variability of discounts is larger in countries with tighter capital controls due to the combined effect of market segmentation and local supply and demand shocks, which we relate to location-specific mining activities and investor attention.
Cryptomarket Discounts / Borri, Nicola; Shakhnov, Kirill. - In: JOURNAL OF INTERNATIONAL MONEY AND FINANCE. - ISSN 0261-5606. - 139:December(2023), pp. 1-24. [10.1016/j.jimonfin.2023.102963]
Cryptomarket Discounts
Nicola Borri
;Kirill Shakhnov
2023
Abstract
This paper studies the efficiency of the cryptocurrency market by looking at the distribution of bitcoin prices over time and across exchange-currency pairs. We document persistent differences in relative bitcoin prices (or discounts), with a half-life of 1 day, and a distribution which is leptokurtic, skewed to the right, with a standard deviation of 3.9%. The variability of discounts is larger in countries with tighter capital controls due to the combined effect of market segmentation and local supply and demand shocks, which we relate to location-specific mining activities and investor attention.
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