Project Description

Market Reaction to Large Transfers on the Bitcoin Blockchain – Do Size and Motive Matter?

BRL Working Paper No. 9


Cryptocurrency markets are often deemed inefficient. This paper explores how the market reacts to a specific form of public information: large Bitcoin transactions. The event study examines the price effects of 2,132 transactions involving at least 500 Bitcoins over the period September 2018 to November 2019. Across all transactions, we find significant negative price effects for the minutes closely around the events. Yet the effects are positive over the period from the event to 15 minutes thereafter. We analyze further effects of the size and the probable motive of the transfers by dividing the sample into quartiles and by clustering specific Bitcoin addresses of cryptocurrency exchanges involved in the transfers. We find that the price effects can differ significantly depending on the size and type of a transaction. The results indicate that the market recognizes the nature of the transfer and prices in new information. While this constitutes evidence of efficiency, yet more efficient reactions remain conceivable.

Keywords: market efficiency; cryptocurrency; event study; transaction activity

Suggested citation:

Ante, L., & Fiedler, I. (2020). Market Reaction to Large Transfers on the Bitcoin Blockchain-Do Size and Motive Matter?. Finance Research Letters doi: 10.1016/


30 Mar 2020


Finance Research Letters