QFE, 4(3): 365–381. DOI: 10.3934/QFE.2020017 Received: 26 April 2020 Accepted: 28 May 2020 Published: 02 June 2020 http://www.aimspress.com/journal/QFE

Research article transactions, information asymmetry and trading volume

Lennart Ante1,2,*

1 Research Lab, Colonnaden 72, 20354 Hamburg, Germany 2 University of Hamburg, Faculty of Business, Economics & Social Sciences, Von-Melle-Park 5, 20146 Hamburg, Germany

* Correspondence: Email: [email protected].

Supplementary

2

Table A.1. Distribution of bitcoin address clusters.

Cluster Associated # % all % Mean value transferred transfers cluster Bitcoin USD exchange (million) addresses Non-exchange 434 20.4% 100% 2,745 21.1 transfers Cold wallet All 51 2.4% 100.0% 1,920 12.0 deposits Bitfinex 29 1.4% 56.9% 1,644 10.7 9 0.4% 17.6% 1,241 6.3 8 0.4% 15.7% 2,000 12.8 3 0.1% 5.9% 3,363 21.6 2 0.1% 3.9% 6,500 39.6 Cold wallet All 129 6.1% 100.0% 5,373 31.0 withdrawals Bitfinex 98 4.6% 76.0% 2659 16.3 Coincheck 20 0.9% 15.5% 870 5.5 Huobi 6 0.3% 4.7% 18,005 140.3 Binance 3 0.1% 2.3% 52,337 303.9 Bittrex 2 0.1% 1.6% 75,002 271.8 Hot wallet All 612 28.7% 100.0% 1,565 8.3 deposits Bitfinex 445 20.9% 72.7% 1,815 9.0 Binance 167 7.8% 27.3% 897 6.1 Hot wallet All 906 42.5% 100.0% 1,531 8.5 withdrawals Bitfinex 521 24.4% 57.5% 1,796 8.9 Binance 378 17.7% 41.7% 1,000 6.6 Bittrex 7 0.3% 0.8% 7,672 70.8 All transfers 2,132 100.0% - 2,020 12.5

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t = -15 to 15 (event window) t = -200 to 200 (full data set) All transactions Non-exchange transfers All transactions Non-exchange transfers

$30,000 $40,000 $30,000 $50,000

$15,000 $20,000 $15,000 $25,000

$0 $0 $0 $0 -15 -10 -5 0 5 10 15 -15 -10 -5 0 5 10 15 -200 -100 0 100 200 -200 -100 0 100 200

Hot wallet deposits Hot wallet withdrawals Hot wallet deposits Hot wallet withdrawals

$30,000 $30,000 $40,000 $30,000

$15,000 $15,000 $20,000 $15,000

$0 $0 $0 $0 -15 -12 -9 -6 -3 0 3 6 9 12 15 -15 -12 -9 -6 -3 0 3 6 9 12 15 -200 -100 0 100 200 -200 -100 0 100 200

Cold wallet deposits Cold wallet withdrawals Cold wallet withdrawals Cold wallet deposits

$80,000 $40,000 $50,000 $200,000

$40,000 $20,000 $25,000 $100,000

$0 $0 $0 $0 -15 -12 -9 -6 -3 0 3 6 9 12 15 -15 -12 -9 -6 -3 0 3 6 9 12 15 -200 -100 0 100 200 -200 -100 0 100 200

Figure A.1. Average trading volume in USD per minute around large on-chain Bitcoin transactions by different clusters. The figure shows average trading volume in USD after a blockchain transaction of 500 or more .

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Lowest decile Second $40,000 $40,000 $20,000 $20,000 $0 -15-12 -9 -6 -3 0 3 6 9 12 15 $0 -15-12 -9 -6 -3 0 3 6 9 12 15

Third Fourth $40,000 $40,000

$20,000 $20,000

$0 $0 -15 -12 -9 -6 -3 0 3 6 9 12 15 -15 -12 -9 -6 -3 0 3 6 9 12 15

Fifth Sixth $40,000 $40,000

$20,000 $20,000

$0 $0 -15 -12 -9 -6 -3 0 3 6 9 12 15 -15 -12 -9 -6 -3 0 3 6 9 12 15

Seventh Eighth $50,000 $60,000

$25,000 $30,000

$0 $0 -15 -12 -9 -6 -3 0 3 6 9 12 15 -15 -12 -9 -6 -3 0 3 6 9 12 15

Ninth Largest decile $40,000 $40,000

$20,000 $20,000

$0 $0 -15 -12 -9 -6 -3 0 3 6 9 12 15 -15 -12 -9 -6 -3 0 3 6 9 12 15

Figure A.2. Average trading volume in USD per minute around large on-chain Bitcoin transactions by different deciles based on the USD value of the transfers. The figure shows average trading volume in USD per minute from 15 minutes leading up until 15 minutes after a blockchain transaction of 500 or more Bitcoins.

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Lowest decile Second $60,000 $60,000 $30,000 $30,000 $0 $0 -200 -100 0 100 200 -200 -100 0 100 200

Third Fourth $100,000 $60,000

$50,000 $30,000

$0 $0 -200 -100 0 100 200 -200 -100 0 100 200

Fifth Sixth $40,000 $40,000

$20,000 $20,000

$0 $0 -200 -100 0 100 200 -200 -100 0 100 200

Seventh Eighth $50,000 $60,000 $25,000 $30,000 $0 $0 -200 -100 0 100 200 -200 -100 0 100 200

Ninth Largest decile $50,000 $80,000 $25,000 $40,000 $0 $0 -200 -100 0 100 200 -200 -100 0 100 200

Figure A.3. Average trading volume in USD per minute around large on-chain Bitcoin transactions by different deciles based on the USD value of the transfers. The figure shows average trading volume in USD per minute from 200 minutes leading up until 200 minutes after a blockchain transaction of 500 or more Bitcoins.

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Table A.2. Descriptive statistics.

Variables N Mean SD p50 Min Max Non-exchange transfers 2132 0.20 - 0 0 1 Hot wallet withdrawals 2132 0.42 - 0 0 1 Hot wallet deposits 2132 0.29 - 0 0 1 Cold wallet withdrawals 2132 0.06 - 0 0 1 Cold wallet deposits 2132 0.02 - 0 0 1 Bitcoin price ($1,000) 2132 5.65 2.21 5.19 3.15 13.21 Transaction size (BTC) 2132 7.16 0.72 7.09 6.21 11.77

Table A.3. Correlations.

Variables (1) (2) (3) (4) (5) (6) (7) (1) Non-exchange 1.00 transfers (2) Hot wallet −0.43 * 1.00 withdrawals (3) Hot wallet −0.32 * −0.55 * 1.00 deposits (4) Cold wallet −0.13 * −0.22 * −0.16 * 1.00 withdrawals (5) Cold wallet −0.08 * −0.13 * −0.10 * −0.04 1.00 deposits (6) Bitcoin price 0.19 * −0.05 * −0.16 * 0.07 * 0.04 1.00 ($1,000) (7) Transaction size −0.08 * −0.03 −0.01 0.16 * 0.02 0.04 * 1.00 (BTC) Note: * indicates significance at the 5% level.

Table A.4. Transaction cluster distributions and mean transaction size across days of the week.

Day of the week Mon Tue Wed Thu Fri Sat Sun All transactions 17% 19% 15% 19% 13% 10% 8% Mean transaction size ($m) 21.07 8.69 12.60 11.47 11.94 9.63 9.03 Cluster Non-exchange transfers 14% 21% 15% 29% 16% 3% 2% Hot wallet withdrawals 16% 17% 16% 17% 12% 12% 9% Hot wallet deposits 19% 18% 14% 14% 13% 12% 11% Cold wallet withdrawals 19% 26% 17% 16% 6% 8% 8% Cold wallet deposits 33% 16% 4% 20% 24% 2% 2%

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$30 $25 $20 $15

million $10 $5 $0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 Hour of day (UTC)

Figure A.4. Distribution of average transferred amount in USD of large Bitcoin transactions across different clusters by the hour of the day (UTC).

All transactions Non-exchange transfers 8% 12%

4% 6%

0% 0% 1 3 5 7 9 11 13 15 17 19 21 23 1 3 5 7 9 11 13 15 17 19 21 23

Hot wallet deposits Hot wallet withdrawals 8% 8% 4% 4% 0% 0% 1 3 5 7 9 11 13 15 17 19 21 23 1 3 5 7 9 11 13 15 17 19 21 23

Cold wallet withdrawals Cold wallet deposits 14% 22% 7% 11% 0% 0% 1 3 5 7 9 11 13 15 17 19 21 23 1 3 5 7 9 11 13 15 17 19 21 23

Figure A.5. Distribution of large Bitcoin transactions across different clusters by the hour of the day (UTC).

© 2020 the Author(s), licensee AIMS Press. This is an open access article distributed under the terms of the Creative Commons Attribution License (http://creativecommons.org/licenses/by/4.0)

Quantitative Finance and Economics Volume 4, Issue 3, 365–381.