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

Yoontae Jeon, Laleh Samarbakhsh and Kenji Hewitt

Finance Research Letters, 2021, vol. 39, issue C

Abstract: We explore the consolidated order book of five major exchanges to investigate how fragmentation affects the Bitcoin market. Using intraday snapshots of the order book data, we find that the Bitcoin market is quite fragmented, wherein the exchange liquidity measure is significantly negative, even for small transactions. Our results suggest that consolidation tools, such as smart order routers, can be effective in reducing the cost of trading, and that further development of the Bitcoin marketâs trading and regulation is needed.

Keywords: Bitcoin; Fragmented market; Market microstructure; Smart order router (search for similar items in EconPapers)
JEL-codes: C58 G14 G15 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:39:y:2021:i:c:s1544612320301136

DOI: 10.1016/j.frl.2020.101654

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