Periodicity in Cryptocurrency Volatility and Liquidity-Reference-Cited by-同舟云学术

Periodicity in Cryptocurrency Volatility and Liquidity

Published:2022-10-12 Issue: Volume: Page:
ISSN:1479-8409
Container-title:Journal of Financial Econometrics
language:en
Short-container-title:

Author:

Hansen Peter Reinhard¹²^ORCID,Kim Chan¹,Kimbrough Wade³

Affiliation:

1. University of North Carolina , Chapel Hill, NC, USA

2. Copenhagen Business School , Frederiksberg, Denmark

3. Extra Ludic, Inc, Boston, Massachusetts

Abstract

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.

Funder

Volatility Group

Publisher

Oxford University Press (OUP)

Subject

Economics and Econometrics,Finance

Link

https://academic.oup.com/jfec/advance-article-pdf/doi/10.1093/jjfinec/nbac034/46459144/nbac034.pdf

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