Market Reaction to Large Transfers on the Bitcoin Blockchain - Do Size and Motive Matter?

13 Pages Posted: 23 Apr 2020

See all articles by Lennart Ante

Lennart Ante

Blockchain Research Lab

Ingo Fiedler

University of Hamburg - Institute of Commercial Law

Date Written: March 30, 2020

Abstract

Cryptocurrency markets are often deemed inefficient. This paper explores how the market reacts to a specific form of public information: large Bitcoin transactions. The event study examines the price effects of 2,132 transactions involving at least 500 Bitcoins over the period September 2018 to November 2019. Across all transactions, we find significant negative price effects for the minutes closely around the events. Yet the effects are positive over the period from the event to 15 minutes thereafter. We analyze further effects of the size and the probable motive of the transfers by dividing the sample into quartiles and by clustering specific Bitcoin addresses of cryptocurrency exchanges involved in the transfers. We find that the price effects can differ significantly depending on the size and type of a transaction. The results indicate that the market recognizes the nature of the transfer and prices in new information. While this constitutes evidence of efficiency, yet more efficient reactions remain conceivable.

Keywords: Market efficiency, Cryptocurrency, Event study, Transaction activity

Suggested Citation

Ante, Lennart and Fiedler, Ingo, Market Reaction to Large Transfers on the Bitcoin Blockchain - Do Size and Motive Matter? (March 30, 2020). Available at SSRN: https://ssrn.com/abstract=3564085 or http://dx.doi.org/10.2139/ssrn.3564085

Lennart Ante (Contact Author)

Blockchain Research Lab ( email )

Colonnaden 72
Hamburg, 22303
Germany

Ingo Fiedler

University of Hamburg - Institute of Commercial Law ( email )

Max-Brauer-Allee 60
Hamburg, 22765
Germany
+4940428386539 (Phone)
+4940428386443 (Fax)

HOME PAGE: http://www.wiso.uni-hamburg.de/institute/irdw

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