We study the efficiency, price formation and segmentation of cryptocurrency markets. We document large, recurrent arbitrage opportunities in cryptocurrency prices relative to fiat currencies across exchanges, which often persist for weeks. Price deviations are much larger across than within countries, and smaller between cryptocurrencies. Price deviations across countries co-move and open up in times of large appreciations of the Bitcoin. Countries that on average have a higher premium over the US Bitcoin price also see a bigger widening of arbitrage deviations in times of large appreciations of the Bitcoin. Finally, we decompose signed volume on each exchange into a common and an idiosyncratic component. We show that the common component explains up to 85% of Bitcoin returns and that the idiosyncratic components play an important role in explaining the size of the arbitrage spreads between exchanges.
