Fragmentation in the Bitcoin market: Evidence from multiple coexisting order books

Jeon, Yoontae; Samarbakhsh, Laleh; Hewitt, Kenji

doi:10.1016/j.frl.2020.101654

Cited by 7 publications

(7 citation statements)

References 12 publications

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“…Previous studies focused on Bitcoin price nexus with traditional assets (Matkovskyy & Jalan, 2019), speculative bubbles (Baur, Hong, & Lee, 2018), mining technology Li & Wang, 2016), market volatility (Hung, Liu & Yang, 2020;Troster et al, 2018), time-of-day periodicities of trading (Wang, Liu, & Hsu, 2020), survey of Bitcoin Exchange (Jeon, Samarbakhsh, & Hewitt, 2020), predictability of returns (Philippas, Rjiba, Guesmi, & Goutte, 2019), technical indicators (Huang, Huang, & Ni, 2019) and the determinants of Bitcoin price fluctuations (Sovbetov, 2018;Julio, 2017). Corbet, Meegan et al (2018) discovered Bitcoin speculative bubbles, with a non-predictable fundamental value equals to zero.…”

Section: Motivationmentioning

confidence: 99%

How Blockchain Network Factors and Market Forces Determine Bitcoin Returns

Gbadebo

2023

Preprint

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The creation of distributed ledger technology resulted in the use of secured peer-to-peer interactions that pave way for the invention of Bitcoin and other cryptocurrencies. Since its invention, the price of Bitcoin has exhibited excessive volatility and has attracted increasing attentions. This paper considers the isolated influence of network activities (confirmed payments and users’ adoptions), mining information (network difficulty, Hashrate and transaction fees) and market factors (such as, bitcoin supply and trade volume) as key drivers of Bitcoin price. Using the vector autoregressive model (VECM), the results identified the existence of both long-term equilibrium and short-term dynamic relationship amongst the endogenous system’s variables. The cointegration relation has reversed adjustment effects on the bitcoin return. Accordingly, any deviation from the equilibrium dynamics due to perturbations of network events, market forces and mining data would be minimised. This explains why the Bitcoin price, and by implication its return, continues to experience different massive run-up, spiky protrusions, resistance, reversals, strong supports and consolidations. Based on the finding, the study recommends increased regulatory efforts to curb the excessive fluctuations in Bitcoin price in order to prevent significant loss which could discourage digital investors in the cryptocurrency markets.

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Section: Motivationmentioning

confidence: 99%

How Blockchain Network Factors and Market Forces Determine Bitcoin Returns

Gbadebo

2023

Preprint

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“…In contrast to other assets, the crypto market is highly fragmented (Jeon et al, 2021), providing cross-exchange arbitrage opportunities. Price deviations of the same coin can be substantial across exchanges and countries (Makarov and Schoar, 2020), driven by capital controls, different know-your-customer regulations (Pieters and Vivanco, 2017) and risk compensations for illiquidity (Borri and Shakhnov, 2022).…”

Section: Microstructure Of the Cryptocurrency Marketmentioning

confidence: 99%

“…In contrast to other assets, the crypto market is highly fragmented (Jeon et al. , 2021), providing cross-exchange arbitrage opportunities.…”

Section: Stream Two: Behaviour Of the Cryptocurrency Marketmentioning

confidence: 99%

Cryptocurrency puzzles: a comprehensive review and re-introduction

Cai,

Xue,

Zhou

2023

JAL

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Purpose This study reviews existing cryptocurrency research to provide answers to three puzzles in the literature. First, is cryptocurrency more like gold (i.e., a commodity) or should it be classified as a new financial asset? Second, can we apply our knowledge of the traditional capital market to the emerging cryptocurrency market? Third, what might be the future of cryptocurrency?Design/methodology/approach Bibliometric analysis is used to assess 2,098 finance-related cryptocurrency publications from the Web of Science (WoS) Core Collection database from January 2009 to April 2022. Three key research streams are identified, namely, (1) cryptocurrency features, (2) behaviour of the cryptocurrency market and (3) blockchain implications.Findings First, cryptocurrency should be viewed and regulated as a new asset class rather than a currency or a new commodity. While it can provide diversification benefits to the portfolio, cryptocurrency cannot work as a safe haven asset. Second, crypto markets are typically inefficient. Asset bubbles exist and are exacerbated by behavioural finance factors. Third, cryptocurrency demonstrates increasing potential as a medium of exchange and store of value.Originality/value Extant review papers primarily study one or two particular research topics, overlooking the interaction between topics. The few existing systematic literature reviews in this area typically have a narrow focus on trend identification. This study is the first study to provide a comprehensive review of all financial-related studies on cryptocurrency, synthesising the research findings from 2,098 publications to answer three cryptocurrency puzzles.

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“…Previous studies have focused on bitcoin price nexus with traditional assets (Matkovskyy & Jalan, 2019), speculative bubbles (Baur, Hong, & Lee, 2018), mining technology Li & Wang, 2016), market volatility (Hung, Liu & Yang, 2020;Troster et al, 2018), time-of-day periodicities of trading (Wang, Liu, & Hsu, 2020); survey of bitcoin Exchange (Jeon, Samarbakhsh, & Hewitt, 2020), predictability of returns (Philippas, Rjiba, Guesmi, & Goutte, 2019), technical indicators (Huang, Huang, & Ni, 2019) and the determinants of price fluctuations (Sovbetov, 2018;Julio, 2017). Corbet, Meegan et al (2018) discover bitcoin speculative bubbles with non-predictable fundamental value equals to zero.…”

Section: Motivationmentioning

confidence: 99%

How Blockchain Network Factors and Market Forces Determine Bitcoin Returns

Gbadebo

2022

Preprint

View full text Add to dashboard Cite

The creation of distributed ledgers technologies for information storage spiral secured peer-to-peer interactions which allow for the invention of Bitcoin. Since its invention the price of bitcoin has exhibited excessive volatility, which have attracted undulated attentions. The study considers the isolated influence of network activities, mining (technology) and market information as fundamentals drivers of bitcoin prices. A long-term equilibrium and short-term dynamic is confirmed amongst endogenous system variables in the VECM. This supposes that any deviation from the equilibrium dynamics due to perturbations of market forces (total bitcoin supply and trade volume on exchanges), mining Information (network difficulty, Hashrate, and total transaction fees and network activity (confirmed payments and users adoptions) would be minimized. The model indicates that the cointegration relationship has a reverse adjustment effect on bitcoin return. This explains the why the price, and by implication the return experience different massive run-up, spiky protrusions, resistance, reversals, strong supports and consolidations in the short

show abstract

Fragmentation in the Bitcoin market: Evidence from multiple coexisting order books

Cited by 7 publications

References 12 publications

How Blockchain Network Factors and Market Forces Determine Bitcoin Returns

How Blockchain Network Factors and Market Forces Determine Bitcoin Returns

Cryptocurrency puzzles: a comprehensive review and re-introduction

How Blockchain Network Factors and Market Forces Determine Bitcoin Returns

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