Realised volatility connectedness among Bitcoin exchange markets

Qiang Ji, Elie Bouri (), Ladislav Krištoufek () and Brian Lucey

Finance Research Letters, 2021, vol. 38, issue C

Abstract: This paper examines the system of Bitcoin exchanges with respect to their common dynamics. We employ connectedness measures based on the daily realised volatility of Bitcoin prices, for which the results reveal that Coinbase is the clear leader of the market, while Binance ranks surprisingly weak. The positions of specific exchanges within the network of connectedness seem to be driven by these exchanges’ own characteristics, from which trading in USD rather than USDT (Tether) stands out. Our findings suggest that safer asset withdrawal matters more to the volatility connectedness among Bitcoin exchanges than does trading volume.

Keywords: Realised volatility; Bitcoin exchanges; Connectedness (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (15)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319310773

DOI: 10.1016/j.frl.2019.101391

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