The Intraday Dynamics of Bitcoin

Andrea Eross, Frank McGroarty, Andrew Urquhart, Simon Wolfe

Research output: Contribution to journalArticle

20 Citations (Scopus)
200 Downloads (Pure)

Abstract

Bitcoin has received much investor attention in recent years and following this, there has been an explosion of academic studies examining this new financial asset. We contribute to the growing literature of Bitcoin by examining the intraday variables of the leading Bitcoin exchange with the highest information share over 4 years’ worth of data to reveal the intraday stylized facts of Bitcoin and how they have developed over time. Employing GMT-timestamped tick data aggregated to the 5-mintuely frequency, we find that Bitcoin returns have increased over time, while trading volume, volatility and liquidity varied substantially over time. We also find that volume increases throughout the day and falls from around 4 pm until midnight, which is consistent with the intraday patterns found in currency markets. Realised volatility is fairly consistent throughout the day although it is highest during the opening times of the three major global stock markets. Also liquidity is highest during the opening times of the major global exchanges and the markets tend to be illiquid during the early morning. Finally, we show evidence of the mixture of distribution hypothesis of Clark (1973).
Original languageEnglish
Pages (from-to)71-81
Number of pages11
JournalResearch in International Business and Finance
Volume49
Early online date24 Jan 2019
DOIs
Publication statusPublished - Oct 2019

Keywords

  • Bitcoin
  • Cryptocurrency
  • Granger causality
  • High-frequency
  • Intraday patterns
  • Lead-lag

ASJC Scopus subject areas

  • Business, Management and Accounting (miscellaneous)
  • Finance

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