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ABSTRACT
We analyse 519.4 million Bitcoin orders placed on Gemini Exchange during January 2016-August 2019 and find limit orders dominate at 99.92%. We document order-based evidence of price manipulation during the Bitcoin bubble in late 2017, when the daily number of market orders during the bubble period more than triples the overall daily average. The changes in both prices and liquidity satisfy two criteria specified in Kyle and Viswanathan (2008) for the price manipulation definition. Moreover, we find a significant increase in market order imbalance associated with price manipulations modelled in Jarrow, Protter and Roch (2012).
Acknowledgments
Joon Ho Hwang acknowledges partial support from Korea University Business School Research Grant and the Asian Institute of Corporate Governance.
Notes
1 We thank the reviewer for insights about fake volume in cryptocurrency trading.
2 We repeat the analysis without the sample selection filter and obtain similar results, which are presented in an online appendix.
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