比特币套利和交易所违约风险

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2024-11-02 DOI:10.1016/j.frl.2024.106364

Weiwei Guo , Silvia Intini , Hossein Jahanshahloo

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引用次数: 0

摘要

我们研究了交易所违约风险和流动性如何影响比特币跨交易所套利机会。通过分析 16 个加密货币交易所的分钟级数据（2013 年 4 月至 2024 年 4 月），我们发现当高风险交易所价格较高时，套利机会持续时间更长，因为交易者对违约风险持谨慎态度。资本从高风险交易所流向低风险交易所与套利机会之间存在很强的正相关关系，这表明人们偏好更安全的交易所。流动性可以加快执行速度，从而加速套利，但高昂的交易费用和区块链拥堵会减缓资本转移。本文强调，交易所风险、流动性和交易成本是影响比特币市场效率的关键因素。

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Bitcoin arbitrage and exchange default risk

We investigate how exchange default risk and liquidity affect Bitcoin cross-exchange arbitrage opportunities. Analysing minute-level data from 16 cryptocurrency exchanges (April 2013–April 2024), we find arbitrage opportunities last longer when higher-risk exchanges have higher prices, as traders are cautious of default risks. There is a strong positive relation between capital flows from high-risk to low-risk exchanges and arbitrage opportunities, showing a preference for safer exchanges. Liquidity accelerates arbitrage by enabling faster execution, but high transaction fees and blockchain congestion slow capital transfers. The paper highlights exchange risk, liquidity, and transaction costs as key factors in Bitcoin market efficiency.

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

期刊介绍： Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies. Papers are invited in the following areas: Actuarial studies Alternative investments Asset Pricing Bankruptcy and liquidation Banks and other Depository Institutions Behavioral and experimental finance Bibliometric and Scientometric studies of finance Capital budgeting and corporate investment Capital markets and accounting Capital structure and payout policy Commodities Contagion, crises and interdependence Corporate governance Credit and fixed income markets and instruments Derivatives Emerging markets Energy Finance and Energy Markets Financial Econometrics Financial History Financial intermediation and money markets Financial markets and marketplaces Financial Mathematics and Econophysics Financial Regulation and Law Forecasting Frontier market studies International Finance Market efficiency, event studies Mergers, acquisitions and the market for corporate control Micro Finance Institutions Microstructure Non-bank Financial Institutions Personal Finance Portfolio choice and investing Real estate finance and investing Risk SME, Family and Entrepreneurial Finance