This paper examines the price impact of large block trades in cryptocurrency markets by using a natural experiment in Bitcoin provided by the Gemini exchange. The exchange introduced a block trading facility in 2018, but in December 2019, it changed the minimum size threshold that allows market participants to trade a block and report it with a delay. Consistent with theoretical predictions and earlier empirical findings, we largely confirm that the information content of large trades is significantly lower in the upstairs market than in the downstairs. In contrast with prior research in traditional markets, we find that delaying the reporting of a block traded away from the continuous book discourages informed trading and potentially decreases the informativeness of trading and, therefore, information efficiency. Further, we find that the newly implemented size requirement for upstairs trades increases the total market impact, thereby not working as the intended introduction of a block trading facility.

中文翻译：

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加密货币市场延迟大宗交易的信息内容


本文通过使用 Gemini 交易所提供的比特币自然实验来研究加密货币市场中大宗交易的价格影响。该交易所于 2018 年推出了大宗交易工具，但在 2019 年 12 月，它更改了允许市场参与者交易大宗并延迟报告的最小规模门槛。与理论预测和早期的实证发现一致，我们在很大程度上证实了楼上市场大宗交易的信息内容明显低于楼下市场。与传统市场的先前研究相比，我们发现，在连续账簿之外延迟报告大宗交易会阻碍知情交易，并可能降低交易的信息量，从而降低信息效率。此外，我们发现新实施的楼上交易规模要求增加了对市场的总影响，因此不能作为大宗交易设施的预期引入。