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

Arbitrage across different Bitcoin exchange venues: Perspectives from investor base and market... 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. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Accounting and Finance Wiley

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

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References (38)

Publisher
Wiley
Copyright
Accounting and Finance © 2023 AFAANZ
ISSN
0810-5391
eISSN
1467-629X
DOI
10.1111/acfi.13102
Publisher site
See Article on Publisher Site

Abstract

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.

Journal

Accounting and FinanceWiley

Published: Dec 1, 2023

Keywords: arbitrage; Binance; Bitcoin; Coinbase; investor base

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