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Time-of-day periodicities of trading volume and volatility in Bitcoin exchange: Does the stock market matter?

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  • Wang, Jying-Nan
  • Liu, Hung-Chun
  • Hsu, Yuan-Teng

Abstract

We propose using the hourly share of trading volume and realized variance measures to explore Bitcoin's intraday periodicities on Bitstamp Exchange. Empirical results indicate that the trading activity resembles a reverse V-shaped pattern throughout the day. The Bitcoin market exhibits noticeably higher trading volume and volatility during hours that coincide with the daytime trading hours of European and US stock exchanges. While Bitcoin's volatility is marginally affected by the opening of Asian stock markets, trading volume is almost unaffected. Both variables are substantially higher on weekdays than weekends. Additionally, we uncover a bilateral causality relationship between these two intraday variables.

Suggested Citation

  • Wang, Jying-Nan & Liu, Hung-Chun & Hsu, Yuan-Teng, 2020. "Time-of-day periodicities of trading volume and volatility in Bitcoin exchange: Does the stock market matter?," Finance Research Letters, Elsevier, vol. 34(C).
    • Handle: RePEc:eee:finlet:v:34:y:2020:i:c:s1544612319301904
    DOI: 10.1016/j.frl.2019.07.016
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    2. Tao Chen & Kam C. Chan & Haodong Chang, 2022. "Periodicity of trading activity in foreign exchange markets," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 45(2), pages 445-465, June.
    3. Emilio Barucci & Giancarlo Giuffra Moncayo & Daniele Marazzina, 2022. "Cryptocurrencies and stablecoins: a high-frequency analysis," Digital Finance, Springer, vol. 4(2), pages 217-239, September.
    4. AHMAD TIBRIZI SONI Wicaksono & ARIEF Mufraini & TITIS Miranti & MUHAMMAD KHAERUL Muttaqien, 2023. "Bitcoin Vs Gold: Which One Is The Most Powerful In Boosting The Shariah Equity Index? Global Evidence," Studies in Business and Economics, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 18(1), pages 5-36, April.
    5. Kao, Yu-Sheng & Zhao, Kai & Chuang, Hwei-Lin & Ku, Yu-Cheng, 2024. "The asymmetric relationships between the Bitcoin futures’ return, volatility, and trading volume," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 524-542.
    6. Jahanshahloo, Hossein & Corbet, Shaen & Oxley, Les, 2022. "Seeking sigma: Time-of-the-day effects on the Bitcoin network," Finance Research Letters, Elsevier, vol. 49(C).
    7. Yamani, Ehab, 2023. "Return–volume nexus in financial markets: A survey of research," Research in International Business and Finance, Elsevier, vol. 65(C).

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    More about this item

    Keywords

    Bitcoin; Hourly share of trading volume; Hourly share of realized variance; Intraday pattern;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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