
doi: 10.2139/ssrn.3606053
Recent literature has documented substantial arbitrage opportunities in markets for cryptocurrencies. Given these rather surprising findings, we re-examine the exchange rates of four cryptocurrencies on 21 exchanges with data from October 2018 to June 2019. Our results first provide evidence that price differences exist based on our created arbitrage indices, however, at only a fraction of values reported in previous literature. We then analyze the drivers of these price differences, identifying exchange-specific factors to have the most important role. Based on this, we test actual arbitrage strategies for specific cryptocurrency and fiat currency pairs, finding, in contrast to previous literature, that arbitrage opportunities hardly exist.
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