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Insights from bitcoin trading

Author

Listed:
  • Pankaj K. Jain
  • Thomas H. McInish
  • Jonathan L. Miller

Abstract

We examine commonality in returns and volume for Bitcoin–fiat currency pairs, each trading in a country with a single time zone. Bitcoin has substantial volume and obeys the theory related to commonality, liquidity, and price discovery. We find evidence that one common factor explains 68% of the variance in hourly volume. Though trading is higher on weekdays, there is substantial weekend trading, reflecting high retail participation. Volume is higher on exchanges during local working hours, as seen in forex markets, supporting the view that trading patterns depend on the location of trade rather than the location of the asset traded.

Suggested Citation

  • Pankaj K. Jain & Thomas H. McInish & Jonathan L. Miller, 2019. "Insights from bitcoin trading," Financial Management, Financial Management Association International, vol. 48(4), pages 1031-1048, December.
    • Handle: RePEc:bla:finmgt:v:48:y:2019:i:4:p:1031-1048
    DOI: 10.1111/fima.12299
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    Citations

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    Cited by:

    1. Jia, Yuecheng & Liu, Yuzheng & Yan, Shu, 2021. "Higher moments, extreme returns, and cross–section of cryptocurrency returns," Finance Research Letters, Elsevier, vol. 39(C).
    2. Ao Shu & Feiyang Cheng & Jianlei Han & Zini Liang & Zheyao Pan, 2023. "Arbitrage across different Bitcoin exchange venues: Perspectives from investor base and market related events," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(5), pages 5183-5210, December.
    3. Xiaoquan Jiang & Iván M. Rodríguez & Qianying Zhang, 2023. "Macroeconomic fundamentals and cryptocurrency prices: A common trend approach," Financial Management, Financial Management Association International, vol. 52(1), pages 181-198, March.
    4. Taha Zaghdoudi & Kais Tissaoui & Mohamed Hédi Maâloul & Younès Bahou & Niazi Kammoun, 2024. "Can Economic, Geopolitical and Energy Uncertainty Indices Predict Bitcoin Energy Consumption? New Evidence from a Machine Learning Approach," Energies, MDPI, vol. 17(13), pages 1-15, July.
    5. Sokolov, Konstantin, 2021. "Ransomware activity and blockchain congestion," Journal of Financial Economics, Elsevier, vol. 141(2), pages 771-782.
    6. Pankaj K. Jain & Ayla Kayhan & Esen Onur, 2024. "Determinants of commodity market liquidity," The Financial Review, Eastern Finance Association, vol. 59(1), pages 9-30, February.
    7. Hasan, Mudassar & Naeem, Muhammad Abubakr & Arif, Muhammad & Yarovaya, Larisa, 2021. "Higher moment connectedness in cryptocurrency market," Journal of Behavioral and Experimental Finance, Elsevier, vol. 32(C).
    8. Scharnowski, Matthias & Scharnowski, Stefan & Zimmermann, Lukas, 2023. "Fan tokens: Sports and speculation on the blockchain," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 89(C).
    9. Mzoughi, Hela & Amar, Amine Ben & Guesmi, Khaled & Benkraiem, Ramzi, 2024. "Blockchain markets, green finance investments, and environmental impacts," Research in International Business and Finance, Elsevier, vol. 69(C).
    10. Crépellière, Tommy & Pelster, Matthias & Zeisberger, Stefan, 2023. "Arbitrage in the market for cryptocurrencies," Journal of Financial Markets, Elsevier, vol. 64(C).
    11. Almeida, José & Gonçalves, Tiago Cruz, 2023. "A systematic literature review of investor behavior in the cryptocurrency markets," Journal of Behavioral and Experimental Finance, Elsevier, vol. 37(C).
    12. Li, Yi & Urquhart, Andrew & Wang, Pengfei & Zhang, Wei, 2021. "MAX momentum in cryptocurrency markets," International Review of Financial Analysis, Elsevier, vol. 77(C).
    13. Alexander, Carol & Deng, Jun & Feng, Jianfen & Wan, Huning, 2023. "Net buying pressure and the information in bitcoin option trades," Journal of Financial Markets, Elsevier, vol. 63(C).
    14. Marina Resta & Paolo Pagnottoni & Maria Elena De Giuli, 2020. "Technical Analysis on the Bitcoin Market: Trading Opportunities or Investors’ Pitfall?," Risks, MDPI, vol. 8(2), pages 1-15, May.

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