Price Discovery in Cryptoasset Exchanges: An Empirical Analysis Across Market Conditions and Investor Positions Using Transaction-Level Data From Thailand

Abstract

This study investigates the price discovery process on Thailand’s largest cryptoasset exchange, uniquely leveraging high-frequency transaction data and investor portfolio positions from 2020 to 2022. By applying a vector error correction model (VECM), we compare local price dynamics of BTC, ETH, and XRP against a global benchmark (Kraken). Our findings reveal a significant lag, with local prices taking approximately 30 to 60 minutes to align with global movements. This convergence process notably slows during periods of high market volatility, irrespective of market direction. Such patterns, particularly the varied investor reactions based on their profit/loss status, suggest the influence of behavioral biases like inertia and the disposition effect among predominantly retail investors. These insights into how local market participants react to global price shocks contribute to a deeper understanding of cryptoasset market microstructure. The results carry actionable implications for regulatory policy, including the potential for enhanced market quality benchmarks and targeted investor education to mitigate behavioral inefficiencies.