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The intraday dynamics and intraday price discovery of bitcoin

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  • Su, Fei
  • Wang, Xinyi
  • Yuan, Yulin

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.

Suggested Citation

  • Su, Fei & Wang, Xinyi & Yuan, Yulin, 2022. "The intraday dynamics and intraday price discovery of bitcoin," Research in International Business and Finance, Elsevier, vol. 60(C).
    • Handle: RePEc:eee:riibaf:v:60:y:2022:i:c:s0275531922000137
    DOI: 10.1016/j.ribaf.2022.101625
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    More about this item

    Keywords

    Cryptocurrency; Bitcoin; Intraday dynamics; Price discovery; Information share;
    All these keywords.

    JEL classification:

    • F30 - International Economics - - International Finance - - - General
    • 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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