0583789 20240402215316.020240307235959.9 85139340985 000899867100023 10.1016/j.frl.2022.103332 8 s. P cav_un_epca*03619971544-612351Elsevier Cryptocurrencies Cryptoassets Bitcoin Arbitrage Exchanges cav_un_auth*0256902 Krištoufek Ladislav UTIA-B Ekonometrie Department of Econometrics E E Department of Econometrics CZ 50 Ústav teorie informace a automatizace AV ČR, v. v. i. cav_un_auth*0377616 Bouri E. LB http://library.utia.cas.cz/separaty/2024/E/kristoufek-0583789.pdf https://www.sciencedirect.com/science/article/pii/S1544612322005116?via%3Dihub GA20-17295S GA ČR cav_un_auth*0397556 We investigate potential sources of emerging statistical arbitrage opportunities in the Bitcoin market across five exchanges – Binance, Bitfinex, Bitstamp, Coinbase, and Kraken – via the instrumental variables approach to control for apparent endogeneity. We show that arbitrage opportunities arise when the network is congested and Bitcoin prices are volatile. Increased exchanges volume and on-chain activity increase the correlation between exchanges and thus reduce the arbitrage opportunities. These outcomes are intuitive and economically valid which supports the notion that Bitcoin market is highly volatile and risky but its behavior follows standard economic and financial intuition. WOS AH 50000 50200 50206 2024 2 RVO:67985556 https://hdl.handle.net/11104/0352123 S 103332 Article Business Finance C BUSINESS.FINANCE 7.6 1.4 2.3 0.02244 1.202 20679 123 1.903 26.75 8.45 15200 Q1 6.400 1236 Q1 97.2 Q2 Q1 2.72 Q1 97.2 2023 85139340985 SCOPUS PUBMED 000899867100023 WOS cav_un_epca*0361997 Finance Research Letters 1544-6123 1544-6131 Roč. 51 č. 1 2023 Elsevier PRINT