Bitcoin Liquidity

45 Pages Posted: 27 Jun 2018 Last revised: 5 Jun 2019

See all articles by Ben R. Marshall

Ben R. Marshall

Massey University - School of Economics and Finance

Nhut (Nick) Hoang Nguyen

Auckland University of Technology

Nuttawat Visaltanachoti

Massey University - Department of Economics and Finance

Date Written: May 31, 2019

Abstract

Bitcoin is emerging as a popular financial asset and means of transacting. However, little is known about its liquidity. We consider whether various dimensions evident in other asset class liquidity apply to bitcoin liquidity. We find there is both substantial variation in the level of liquidity across different exchanges and currency pairs and a strong systematic aspect to bitcoin liquidity. Moreover, changes in currency liquidity influence bitcoin liquidity. The pricing of bitcoin is relatively inefficient and liquidity plays an important role. Liquidity declines also contribute to bitcoin crash risk.

Keywords: Bitcoin, Liquidity, Cryptocurrency

JEL Classification: G11, G23

Suggested Citation

Marshall, Ben R. and Nguyen, Nhut (Nick) Hoang and Visaltanachoti, Nuttawat, Bitcoin Liquidity (May 31, 2019). Available at SSRN: https://ssrn.com/abstract=3194869 or http://dx.doi.org/10.2139/ssrn.3194869

Ben R. Marshall (Contact Author)

Massey University - School of Economics and Finance ( email )

Private Bag 11-222
Palmerston North, 30974
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Nhut (Nick) Hoang Nguyen

Auckland University of Technology ( email )

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Auckland, Auckland 1010
New Zealand
+64 9 921 9999 (Phone)

Nuttawat Visaltanachoti

Massey University - Department of Economics and Finance ( email )

School of Economics and Finance
Private Bag 102904, NSMC
Auckland
New Zealand
64 9 414 0800 (43169) (Phone)
64 9 441 8177 (Fax)

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