Bitcoin Markets

41 Pages Posted: 15 Mar 2014 Last revised: 2 Nov 2014

See all articles by Christopher Fink

Christopher Fink

University of Mannheim - Finance Area; University of Mannheim - Graduate School of Economic and Social Sciences

Thomas Johann

University of Mannheim - Finance Area; University of Mannheim - Graduate School of Economic and Social Sciences

Date Written: September 17, 2014

Abstract

This paper analyzes the price formation and market microstructure of the Bitcoin. Bitcoin returns, volatility, turnover, liquidity, price efficiency, and price cointegration are researched in detail. In addition, the Bitcoin ownership structure and its implications on these characteristics is determined. We find that in the last years the Bitcoin price experienced extreme returns at high volatility. The price is not informationally efficient. Market fragmentation and liquidity increased in the last years, and the largest Bitcoin exchanges are cointegrated in terms of prices. Of all Bitcoin transactions, only about 13 percent are exchange traded. Ownership, transaction frequency, and size are broadly dispersed across the more than 15 million Bitcoin users. While the network is large, it is dominated by a few big players that own and trade a high fraction of the market.

Keywords: Bitcoin, Market Efficiency, Market Microstructure

JEL Classification: G12, G14

Suggested Citation

Fink, Christopher and Johann, Thomas, Bitcoin Markets (September 17, 2014). Available at SSRN: https://ssrn.com/abstract=2408396 or http://dx.doi.org/10.2139/ssrn.2408396

Christopher Fink (Contact Author)

University of Mannheim - Finance Area ( email )

Mannheim, 68131
Germany

University of Mannheim - Graduate School of Economic and Social Sciences ( email )

D7, 27
Mannheim, 68131
Germany

Thomas Johann

University of Mannheim - Finance Area ( email )

Mannheim, 68131
Germany

University of Mannheim - Graduate School of Economic and Social Sciences ( email )

D7, 27
Mannheim, 68131
Germany

Register to save articles to
your library

Register

Paper statistics

Downloads
972
Abstract Views
3,920
rank
22,400
PlumX Metrics