25 Pages Posted: 1 Mar 2018 Last revised: 2 Jul 2021
Date Written: August 31, 2018
This paper studies how the efficiency of cryptocurrency markets evolved over time by looking at the distribution of bitcoin prices across markets and currencies. Relative bitcoin prices are persistent, with a half-life of 1 day, and their distribution is leptokurtic, skewed to the right, with a standard deviation of 4.5%. Efficiency improved for high quality exchanges. However, bitcoin price differences are still large because of the entry of new low quality exchanges, associated with higher liquidity and volatility risks.
Keywords: cryptocurrencies; limits to arbitrage; multi-market trading
JEL Classification: G12, G14, G15, F31
Suggested Citation: Suggested Citation