Intraday and daily dynamics of cryptocurrency

Joann Jasiak and Cheng Zhong

International Review of Economics & Finance, 2024, vol. 96, issue PB

Abstract: This paper examines and compares intraday and intraweek patterns in hourly and daily prices, returns, volumes and volatility of native cryptocurrencies, stablecoins and tokens traded on Bitstamp. We show that native cryptocurrencies and tokens share common intraday periodicity determined by the operating times of the NYSE, LSE and Hang Seng stock exchange markets. Periodic patterns are also documented in the returns on cryptocurrency market portfolio approximated by the PCA applied to intraday and intraweek cross-sectional correlation matrices of cryptocurrency returns. Stablecoins have distinct dynamics and their daily and hourly returns are uncorrelated with one another and with the returns on other cryptocurrencies. We introduce a functional CAPM to accommodate the periodic patterns and estimate it by regressing the functions of intraday and intraweek cryptocurrency returns on the market portfolio. We show that the return functions on Bitcoin, Ether, and Link satisfy affine relationships with the return functions of the market portfolio and their functional betas display periodic intraday and intraweek patterns.

Keywords: Cryptocurrency; Periodicity; Stablecoin; Token; Bitcoin; PCA; Market portfolio; CAPM; Functional regression (search for similar items in EconPapers)
JEL-codes: F30 G10 G15 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:96:y:2024:i:pb:s1059056024006506

DOI: 10.1016/j.iref.2024.103658

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