The intraday dynamics and intraday price discovery of bitcoin

【Author】 Su, Fei; Wang, Xinyi; Yuan, Yulin

【Source】RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE

【影响因子】6.143

【Abstract】Bitcoin as an alternative investment asset has received phenomenal investor attention in recent years. This study examines the intraday dynamics and price discovery of Bitcoin traded on the leading cryptocurrency exchanges. Using tick-level cryptocurrency market data over the period of January 2017 - June 2021, we find that trading volume, volatility, and liquidity of Bitcoin against USD and EUR increase significantly during the LNY time (i.e., the overlapping trading hours of London and New York) and exhibit an inverted U-shape, while those of Bitcoin against JPY peak during both the Asian hours and the LNY hours. Finally, we show evidence of the dominance of the overlapping trading hours of London and New York in the intraday price discovery on Bitcoin markets. The empirical findings could have some implications on intraday traders to decide when and where to trade, as well as on policy makers who seek to regulate cryptocurrency market.

【Keywords】Cryptocurrency; Bitcoin; Intraday dynamics; Price discovery; Information share

【发表时间】2022 APR

【收录时间】2022-10-28

【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