Periodicity in Cryptocurrency Volatility and Liquidity*

【Author】 Hansen, Peter Reinhard; Kim, Chan; Kimbrough, Wade

【Source】JOURNAL OF FINANCIAL ECONOMETRICS

【影响因子】3.976

【Abstract】We study recurrent patterns in volatility and volume for major cryptocurrencies, Bitcoin and Ether, using data from two centralized exchanges (CEXs; Coinbase Pro and Binance) and a decentralized exchange (DEX; Uniswap V2). We find systematic patterns in both volatility and volume across day-of-the-week, hour-of-the-day, and within the hour. These patterns have grown stronger over the years and are presumably related to algorithmic trading and funding times in futures markets. We also document that price formation mainly takes place on the CEXs while price adjustments on the DEXs can be sluggish.

【Keywords】bitcoin; ether; Ethereum; cryptocurrency; high frequency data; market microstructure; realized volatility

【发表时间】

【收录时间】2022-10-27

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-数字货币