Detail publikace

Ji, Q. & Bouri, E. & Kristoufek, L. & Lucey, B.: Realised volatility connectedness among Bitcoin exchange markets

Autor: prof. PhDr. Ladislav Krištoufek Ph.D., Ji, Q.; Bouri, E.; Lucey, B.
Typ: Články v impaktovaných časopisech
Rok: 2019
Číslo: 0
ISSN / ISBN:
Publikováno v: (accepted) Finance Research Letters PDF
Místo vydání:
Klíčová slova: Realised volatility; Bitcoin exchanges; connectedness
JEL kódy:
Citace:
Granty: PRIMUS/19/HUM/17 2019-2021 Behaviorální finance a makroekonomie: Nové pohledy pro hlavní proud
Abstrakt: This paper examines the system of Bitcoin exchanges with respect to their common dynamics. We employ connectedness measures based on the daily realised volatility of Bitcoin prices, for which the results reveal that Coinbase is the clear leader of the market, while Binance ranks surprisingly weak. The positions of specific exchanges within the network of connectedness seem to be driven by these exchanges’ own characteristics, from which trading in USD rather than USDT (Tether) stands out. Our findings suggest that safer asset withdrawal matters more to the volatility connectedness among Bitcoin exchanges than does trading volume.

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