Price dispersion in bitcoin exchanges

Kwok Ping Tsang and Zichao Yang

Economics Letters, 2020, vol. 194, issue C

Abstract: Bitcoin is traded in a number of exchanges, and there is a large and time-varying price dispersion among them. We identify the sources of price dispersion using a standard time-varying vector autoregression model with stochastic volatility, and we find that shocks to transaction fees and bitcoin price growth explain on average 20%, and sometimes more than 60%, of the variation of price dispersion.

Keywords: Bitcoin; Transaction fees; Price growth; price dispersion (search for similar items in EconPapers)
JEL-codes: E44 G14 G17 O33 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:194:y:2020:i:c:s0165176520302391

DOI: 10.1016/j.econlet.2020.109379

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