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

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

Finance Research Letters, 2020, vol. 34, issue C

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.

Keywords: Bitcoin; Hourly share of trading volume; Hourly share of realized variance; Intraday pattern (search for similar items in EconPapers)
JEL-codes: C14 C22 G14 G15 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:34:y:2020:i:c:s1544612319301904

DOI: 10.1016/j.frl.2019.07.016

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