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- W2765238894 abstract "This paper presents a novel notion of Law of One Price violation between Bitcoin and Foreign Exchange markets. We first document the magnitude and statistical properties of triangle arbitrage gains. We further show that the violations increase in the capital control intensity of the arbitrage- linked countries. We argue that this triangular arbitrage opportunity, originating from the price gap of the domestic currency between two markets, incorporates information about local investors’ demand for the domestic currency. When economic and political uncertainties surge in the home country, the gap widens. We further test the predictability of our gap measure for foreign exchange markets and find that the predictability peaks in three days and decays afterward. The pattern is stronger in the recent years. We provide suggestive evidence that this predictability reflects a real shift in the demand for domestic currency without future reversals." @default.
- W2765238894 created "2017-11-10" @default.
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- W2765238894 date "2017-01-01" @default.
- W2765238894 modified "2023-09-23" @default.
- W2765238894 title "Revisit Capital Controls Policies When Bitcoin Is in Town" @default.
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- W2765238894 doi "https://doi.org/10.2139/ssrn.3053474" @default.
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