Evidence for round number effects in cryptocurrencies prices

【Author】 Quiroga-Garcia, Raquel; Pariente-Martinez, Natalia; Arenas-Parra, Mar

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】This paper analyses the relationship between price clustering and trade volume in the Ether, Ripple and Litecoin cryptocurrencies. We examine at which digits price clustering exists and study the behaviour at different price levels and time frames. By using recent data to provide an updated view of price clustering in the cryptocurrency market, we find a remarkable level of price clustering at round prices: 5.29%, 2.84% and 2.97% for Ether, Ripple and Litecoin for every one minute at open prices, respectively. This paper reaffirms the negotiation hypothesis by finding that price clustering appears at prices at which traded volume is higher.

【Keywords】Cryptocurrencies; Cluster; Volume; Intraday prices

【发表时间】2022 JUN

【收录时间】2022-07-10

【文献类型】实证性文章

【主题类别】

区块链治理-市场治理-数字货币