Bitcoin market segmentation and regulatory effect
研究了22个国家自2013年以来的日度数据，分析不同国家加密货币监管如何影响比特币价格分割、本地价格和交易量，发现全面和促进创新的监管框架能减少价格偏差、降低本地价格并增加交易量，而银行禁令则导致市场分割。
Abstract: This paper examines how national cryptocurrency regulations affect cross-country Bitcoin price segmentation, local prices, and traded volumes. Using daily data for 22 countries since 2013, we apply a dynamic fixed effects framework to deviations from the law of one price (LOP), controlling for country-specific barriers and global shocks. We distinguish between regulatory frameworks that enhance market functioning (e.g., securities laws, payment system integration, regulatory sandboxes), pro-innovation policies, restrictive measures (e.g., banking bans), and anti-money laundering/countering the financing of terrorism (AML/CFT) rules. Our results show that comprehensive and pro-innovation frameworks reduce price deviations from the USD benchmark, lower local prices, and increase traded volumes, while banking bans fragment markets, depress prices, and reduce volumes. AML/CFT laws exert a consistent downward effect on prices regardless of global conditions. Threshold Auto-Regressive (TAR) models further reveal that highly regulated countries—whether supportive or restrictive—are more sensitive to macro-financial factors such as capital account openness, inflation, relative traded volumes, and remittances, indicating tighter links to the broader financial system. These findings suggest that regulation not only shapes domestic market conditions but also alters the transmission of global and macro-financial shocks into cryptocurrency markets.