 Seeking sigma: Time-of-the-day effects on the Bitcoin networkHossein Jahanshahloo, Shaen Corbet and Les Oxley Finance Research Letters, 2022, vol. 49, issue C Abstract: This research investigates and tests for the presence of time-of-the-day effects on the Bitcoin network. Results indicate that NYSE trading sessions lead Bitcoin trading activity, both on the blockchain and centralised exchanges. Effects are found to have strengthened over time, however, simultaneously diminished at the weekend indicating significant exchange interactions, and that Bitcoin has developed somewhat outside its intended design parameters and is influenced by other forces such as those originating from NYSE trading. While proponents consider Bitcoin trading to be ‘24/7’, our findings suggest that both transaction and on-chain network activity are best described to be, at best, ‘12/5’, presenting significant implications for traders, with regards to centralised exchange liquidity and the speed of their transaction inclusion on the blockchain. Finally, the role and influence of both algorithm and volatility traders cannot be eliminated. Keywords: Bitcoin; Blockchain; Cryptocurrency; Liquidity; Networks; Transaction volumes (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:49:y:2022:i:c:s1544612322003269 DOI: 10.1016/j.frl.2022.103101 Access Statistics for this article Finance Research Letters is currently edited by R. Gençay More articles in Finance Research Letters from Elsevier |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.