Seeking sigma: Time-of-the-day effects on the Bitcoin network

【Author】 Jahanshahloo, Hossein; Corbet, Shaen; Oxley, Les

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】This research investigates and tests for the presence of time-of-the-day effects on the Bitcoin network. Results indicate that NYSE trading sessions lead Bitcoin trading activity, both on the blockchain and centralised exchanges. Effects are found to have strengthened over time, however, simultaneously diminished at the weekend indicating significant exchange interactions, and that Bitcoin has developed somewhat outside its intended design parameters and is influenced by other forces such as those originating from NYSE trading. While proponents consider Bitcoin trading to be '24/7', our findings suggest that both transaction and on-chain network activity are best described to be, at best, '12/5', presenting significant implications for traders, with regards to centralised exchange liquidity and the speed of their transaction inclusion on the blockchain. Finally, the role and influence of both algorithm and volatility traders cannot be eliminated.

【Keywords】Bitcoin; Blockchain; Cryptocurrency; Liquidity; Networks; Transaction volumes

【发表时间】2022 OCT

【收录时间】2022-08-15

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-市场分析