Intraday price behavior of cryptocurrencies

Bill Hu, Thomas McInish (), Jonathan Miller and Li Zeng

Finance Research Letters, 2019, vol. 28, issue C, 337-342

Abstract: We are the first to investigate intraday price behavior of cryptocurrencies. Trade prices cluster on round numbers throughout the day. The clustering increases with price level and pricing uncertainty. There is also strategic pricing at just below or above round numbers. At the transaction level, we find that prices are mainly formed due to negotiations and strategic trading, instead of based on psychologically appealing numbers in the order of 0, 5, and others.

Keywords: Cryptocurrency; Price clustering; Negotiation; Strategic trading (search for similar items in EconPapers)
JEL-codes: F31 G14 G15 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (23)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612318302927
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:28:y:2019:i:c:p:337-342

DOI: 10.1016/j.frl.2018.06.002

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().