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

By A. H. Dyhrberg, Sean Foley, Jiri Svec. Economics Letters, 2018

194 citations recorded by the source corpus.

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.

Subfields: Economics and Econometrics, Finance, Information Systems

View Paper: https://www.semanticscholar.org/paper/3495ba63e5d1d84d2dc7670744cce75d4e005959

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Citations in the corpus

Testing Stylized Facts of Bitcoin Limit Order Books (2019, background): “For a similar time period but different exchanges, Dyhrberg et al. (2018) find comparable average quoted bid-ask spreads ranging from 0.54 bp to 7.8 bp and point out that these are “significantly lower than the average quoted (effective) spread [...] of stocks on the NYSE” (Dyhrberg et al. 2018, p. ”
Cryptocurrencies as a financial asset: A systematic analysis (2019, background): “Further, the growth of significant episodes of cybercrime continues to undermine confidence and stability in the cryptocurrency market with significant consequences (Gandal et al. [2018]; Lucey et al. [2018]).”