Price divergence in bitcoin market

Gang Chu (), Xiao Li (), Dehua Shen () and Andrew Urquhart ()
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Gang Chu: Wuhan University
Xiao Li: Nankai University
Dehua Shen: Nankai University
Andrew Urquhart: University of Birmingham

Review of Quantitative Finance and Accounting, 2025, vol. 65, issue 3, No 8, 1135-1176

Abstract: Abstract Using a unique data set for 164 major Bitcoin (BTC) exchanges, we find that country segmentation, cultural differences in inequality, dependence on others, emotional gender roles, and exchange-specific risk differences in systematic risk, idiosyncratic risk, return momentum, and lottery-like style contribute to explain the BTC price difference between exchanges. Furthermore, the blockchain factors, investor adoption, and exchange (off-chain) trading activities are significantly related to the overall price divergence in the BTC market. The price divergence among exchanges in the Bitcoin market exhibits periods of large, recurrent arbitrage opportunities. Collectively, our findings highlight the potential drivers of the price divergence across exchanges in the Bitcoin market.

Keywords: The law of one price; Bitcoin; Price divergence; Arbitrage (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1007/s11156-024-01371-4

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