The intraday dynamics and intraday price discovery of bitcoin

Fei Su, Xinyi Wang and Yulin Yuan

Research in International Business and Finance, 2022, vol. 60, issue C

Abstract: Bitcoin as an alternative investment asset has received phenomenal investor attention in recent years. This study examines the intraday dynamics and price discovery of Bitcoin traded on the leading cryptocurrency exchanges. Using tick-level cryptocurrency market data over the period of January 2017 – June 2021, we find that trading volume, volatility, and liquidity of Bitcoin against USD and EUR increase significantly during the LNY time (i.e., the overlapping trading hours of London and New York) and exhibit an inverted U-shape, while those of Bitcoin against JPY peak during both the Asian hours and the LNY hours. Finally, we show evidence of the dominance of the overlapping trading hours of London and New York in the intraday price discovery on Bitcoin markets. The empirical findings could have some implications on intraday traders to decide when and where to trade, as well as on policy makers who seek to regulate cryptocurrency market.

Keywords: Cryptocurrency; Bitcoin; Intraday dynamics; Price discovery; Information share (search for similar items in EconPapers)
JEL-codes: F30 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 (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:60:y:2022:i:c:s0275531922000137

DOI: 10.1016/j.ribaf.2022.101625

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