Evidence for round number effects in cryptocurrencies prices

Raquel Quiroga-Garcia, Natalia Pariente-Martinez and Mar Arenas-Parra

Finance Research Letters, 2022, vol. 47, issue PB

Abstract: This paper analyses the relationship between price clustering and trade volume in the Ether, Ripple and Litecoin cryptocurrencies. We examine at which digits price clustering exists and study the behaviour at different price levels and time frames. By using recent data to provide an updated view of price clustering in the cryptocurrency market, we find a remarkable level of price clustering at round prices: 5.29%, 2.84% and 2.97% for Ether, Ripple and Litecoin for every one minute at open prices, respectively. This paper reaffirms the negotiation hypothesis by finding that price clustering appears at prices at which traded volume is higher.

Keywords: Cryptocurrencies; Cluster; Volume; Intraday prices (search for similar items in EconPapers)
JEL-codes: G12 G14 G15 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:47:y:2022:i:pb:s1544612322001179

DOI: 10.1016/j.frl.2022.102811

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