Abstract
We study bitcoin to US dollar (BTCUSD) liquidity and liquidity determinants using order book data from three large cryptocurrency exchanges. The BTCUSD market is more liquid than US equity markets with bid–ask spreads often below 1 basis point. We find that BTCUSD liquidity is largely explained by same-exchange past liquidity, past cryptocurrency market-wide liquidity and volatility, and fees charged on the blockchain for bitcoin transfers. Surprisingly, we find that BTCUSD liquidity is unrelated to broader financial markets and financial market liquidity.
| Dokumententyp: | Zeitschriftenartikel |
|---|---|
| Keywords: | Cryptocurrencies, Liquidity, Bid–ask spread, Determinants |
| Fakultät: | Betriebswirtschaft > Institut für Financial Innovation and Technology |
| Themengebiete: | 300 Sozialwissenschaften > 330 Wirtschaft |
| JEL Classification: | G12, G14 |
| ISSN: | 0927-5398 |
| Sprache: | Englisch |
| Dokumenten ID: | 107109 |
| Datum der Veröffentlichung auf Open Access LMU: | 13. Sep. 2023, 17:08 |
| Letzte Änderungen: | 13. Sep. 2023, 17:08 |
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