Convergence in cryptocurrency prices? the role of market microstructure

Nicholas Apergis (), Dimitrios Koutmos and James Payne

Finance Research Letters, 2021, vol. 40, issue C

Abstract: Do we observe convergence between cryptocurrencies over time? This study explores this question with eight major cryptocurrencies in circulation and posits a framework to evaluate whether shifts in their market microstructures drive convergence. Three main findings emerge. First, convergence occurs between cryptocurrencies with distinct technological functions and classifications. Second, market microstructure behavior drives convergence. Third, estimated transition paths show tighter convergence for half of our sampled cryptocurrencies during the time when the Chicago Board of Exchange (CBOE) introduced bitcoin futures contracts.

Keywords: Bitcoin; Club convergence; Cryptocurrencies; Market microstructure (search for similar items in EconPapers)
JEL-codes: C58 G14 G17 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:40:y:2021:i:c:s1544612319314114

DOI: 10.1016/j.frl.2020.101685

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