The dual impact of on-chain and off-chain factors on Bitcoin market efficiency

The British Accounting Review Pub Date : 2025-03-26 DOI:10.1016/j.bar.2025.101641

Weiwei Guo, Hossein Jahanshahloo, Laima Spokeviciute, Qingwei Wang

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Abstract

This paper examines how on-chain factors (number of active wallets, transaction fees, and transaction volume) and off-chain factors (liquidity and investor attention) impact Bitcoin market efficiency from April 2014 to April 2022. We identify three periods in Bitcoin’s market development: development, growth, and additional development stage. We propose three hypotheses: (1) increased investor attention enhances market efficiency, (2) a rise in active users improves efficiency directly and through liquidity and investor attention, and (3) higher transaction fees and on-chain volume positively impact efficiency directly and indirectly. Our findings support these hypotheses during Bitcoin’s development and growth periods. However, in the additional development stage, the total effect of active users, transaction fees, and transaction volume becomes negative when considering mediating effects, and largely insignificant when focusing on direct effects. Additionally, we find increased netflow between whales and exchanges, a proxy for institutional activity, improves efficiency. We conclude that as Bitcoin’s market develops, factors such as changing user composition and increased regulatory scrutiny alter the dynamics of on-chain factors and their influence on market efficiency.

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链上和链下因素对比特币市场效率的双重影响

本文研究了2014年4月至2022年4月期间，链上因素（活跃钱包数量、交易费用和交易量）和链下因素（流动性和投资者关注度）对比特币市场效率的影响。我们确定了比特币市场发展的三个阶段：发展阶段、成长期和额外的发展阶段。我们提出了三个假设：(1)投资者关注的增加提高了市场效率；(2)活跃用户的增加通过流动性和投资者关注直接提高了效率；(3)更高的交易费用和链上交易量直接和间接地对效率产生了积极影响。我们的研究结果在比特币的发展和成长期支持了这些假设。而在附加发展阶段，在考虑中介效应时，活跃用户、交易费用和交易量的总效应为负，而在关注直接效应时则基本不显著。此外，我们发现鲸鱼和交易所（机构活动的代表）之间净流量的增加提高了效率。我们得出的结论是，随着比特币市场的发展，用户构成的变化和监管审查的加强等因素改变了链上因素的动态及其对市场效率的影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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The British Accounting Review

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