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

Anne H. Dyhrberg, Sean Foley, Jiri Svec

Research output: Contribution to journalArticlepeer-review

55 Citations (Scopus)

Abstract

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.
Original languageEnglish
Pages (from-to)140-143
Number of pages4
JournalEconomics Letters
Volume171
DOIs
Publication statusPublished - Oct 2018
Externally publishedYes

Keywords

  • Bitcoin
  • Cryptocurrency
  • Market microstructure
  • Intraday patterns

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