Employing a long-memory approach, we provide a study of the evolution of informational efficiency in five major Bitcoin markets and its influence on cross-market arbitrage. While all the markets are close to full informational efficiency over the whole sample period, the degree of market efficiency varies across markets and over time. The cross-market discrepancy in market efficiency gradually vanishes, suggesting the segmented markets are developing to a consensus where all markets are equally efficient. Through a fractionally cointegrated vector autoregressive (FCVAR) model we show that when the efficiency in Bitcoin/USD and Bitcoin/AUD markets improves the cross-market arbitrage potential narrows, whereas it widens when the efficiency in Bitcoin/CAD, Bitcoin/EUR, and Bitcoin/GBP markets improves. A battery of robustness checks reassure our main findings.

我们采用长期记忆的方法，对五个主要比特币市场中信息效率的演变及其对跨市场套利的影响进行了研究。尽管在整个样本期内所有市场都接近完全的信息效率，但是市场效率的程度随市场和时间的推移而变化。跨市场的市场效率差异逐渐消失，这表明细分市场正在形成共识，即所有市场都具有同等效率。通过分数协整矢量自回归（FCVAR）模型，我们表明，当比特币/美元和比特币/澳元市场的效率提高时，跨市场套利潜力会缩小，而当比特币/ CAD，比特币/欧元和比特币/ GBP市场有所改善。