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.
| Item Type: | Journal article |
|---|---|
| Keywords: | Cryptocurrencies, Liquidity, Bid–ask spread, Determinants |
| Faculties: | Munich School of Management > Institute for Financial Innovation and Technology |
| Subjects: | 300 Social sciences > 330 Economics |
| JEL Classification: | G12, G14 |
| ISSN: | 0927-5398 |
| Language: | English |
| Item ID: | 107109 |
| Date Deposited: | 13. Sep 2023, 17:08 |
| Last Modified: | 13. Sep 2023, 17:08 |
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