Where is the Information on USD/Bitcoin Hourly Prices?

Helder Sebastião, António Portugal Duarte and Gabriel Guerreiro
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Gabriel Guerreiro: Faculdade de Economia Universidade de Coimbra

Notas Económicas, 2017, issue 45, 7-25

Abstract: This paper analyses the price discovery in the USD/Bitcoin market since Mar -2014 to Nov -2016. The results show a positive relationship between the informational relevance of exchanges and their market shares. Information is mostly transmitted between exchanges within an hour, at least for the main exchanges, although lagged feedbacks occur from the major exchanges. Minor exchanges are merely satellite ones and react to price information with some delay. Bitfinex is the most important exchange: the lagged feedback from this exchange to the market is 18.3%, while the reverse feedback accounts only for 0.6% of the total feedback. Volatility in the major exchanges is the main factor explaining the feedback measures, which sustains the claim that the relative importance of the information -based component of volatility increases with the relative dimension of the exchange.

Keywords: Bitcoin; price discovery; high frequency; Geweke feedback measures; volume; volatility. (search for similar items in EconPapers)
JEL-codes: F13 G12 G14 G15 (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:gmf:journl:y:2017:i:45:p:7:25

DOI: 10.14195/2183-203X_45_1

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