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Cited by 887

The DOI matches its Crossref record; 32 of the 32 references it cites were found in a registry or an index.

Trading and arbitrage in cryptocurrency markets

Open access
Makarov, Igor, Schoar, Antoinette·2020·Journal of Financial Economics
DOI 10.1016/j.jfineco.2019.07.001
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Abstract

Cryptocurrency markets exhibit periods of large, recurrent arbitrage opportunities across exchanges. These price deviations are much larger across than within countries, and smaller between cryptocurrencies, highlighting the importance of capital controls for the movement of arbitrage capital. Price deviations across countries co-move and open up in times of large bitcoin appreciation. Countries with higher bitcoin premia over the US bitcoin price see widening arbitrage deviations when bitcoin appreciates. Finally, we decompose signed volume on each exchange into a common and an id- iosyncratic component. The common component explains 80% of bitcoin returns. The idiosyncratic components help explain arbitrage spreads between exchanges.

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Metadata

Authors
Makarov, I., & Schoar, A.
Venue
Journal of Financial Economics
Publisher
Elsevier BV
Published
2020-02
Volume
135
Issue
2
Pages
293-319
ISSN
0304-405X (ISSN-L)
DOI
10.1016/j.jfineco.2019.07.001
OpenAlex
W2809373714
Cited by
887
References
32
FWCI
75.09
Type
journal article
Language
en
Open access
green

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CoChat. (2026). Citation check: Trading and arbitrage in cryptocurrency markets. https://app.cochat.ai/papers/10.1016/j.jfineco.2019.07.001
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Makarov, I., & Schoar, A. (2020). Trading and arbitrage in cryptocurrency markets. Journal of Financial Economics. https://doi.org/10.1016/j.jfineco.2019.07.001

Data sources

Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.