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Price clustering in Bitcoin

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  • Urquhart, Andrew

Abstract

Investor and media attention in Bitcoin has increased substantially in recently years, reflected by the incredible surge in news articles and considerable rise in the price of Bitcoin. Given the increased attention, there little is known about the behaviour of Bitcoin prices and therefore we add to the literature by studying price clustering. We find significant evidence of clustering at round numbers, with over 10% of prices ending with 00 decimals compared to other variations but there is no significant pattern of returns after the round number. We also support the negotiation hypothesis of Harris (1991) by showing that price and volume have a significant positive relationship with price clustering at whole numbers.

Suggested Citation

  • Urquhart, Andrew, 2017. "Price clustering in Bitcoin," Economics Letters, Elsevier, vol. 159(C), pages 145-148.
    • Handle: RePEc:eee:ecolet:v:159:y:2017:i:c:p:145-148
    DOI: 10.1016/j.econlet.2017.07.035
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    References listed on IDEAS

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    More about this item

    Keywords

    Bitcoin; Price clustering; Cryptocurrency;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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