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

被引：0

作者：

Shu, Ao ^{[1
]}

Cheng, Feiyang ^{[2
,3
]}

Han, Jianlei ^{[2
]}

Liang, Zini ^{[2
]}

Pan, Zheyao ^{[2
]}

机构：

[1] Hunan Univ, Business Sch, Changsha, Peoples R China

[2] Macquarie Univ, Macquarie Business Sch, Sydney, NSW, Australia

[3] Tianjin Univ, Coll Management & Econ, Tianjin, Peoples R China

来源：

ACCOUNTING AND FINANCE | 2023年 / 63卷 / 05期

关键词：

arbitrage; Binance; Bitcoin; Coinbase; investor base; HYPOTHESIS; PREDICT;

D O I：

10.1111/acfi.13102

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页码：5183 / 5210

页数：28