Periodicity in Cryptocurrency Volatility and Liquidity*

Peter Hansen, Chan Kim and Wade Kim

Journal of Financial Econometrics, 2024, vol. 22, issue 1, 224-251

Abstract: We study recurrent patterns in volatility and volume for major cryptocurrencies, Bitcoin and Ether, using data from two centralized exchanges (CEXs; Coinbase Pro and Binance) and a decentralized exchange (DEX; Uniswap V2). We find systematic patterns in both volatility and volume across day-of-the-week, hour-of-the-day, and within the hour. These patterns have grown stronger over the years and are presumably related to algorithmic trading and funding times in futures markets. We also document that price formation mainly takes place on the CEXs while price adjustments on the DEXs can be sluggish.

Keywords: bitcoin; ether; Ethereum; cryptocurrency; high frequency data; market microstructure; realized volatility (search for similar items in EconPapers)
JEL-codes: C58 G12 (search for similar items in EconPapers)
Date: 2024
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Citations: View citations in EconPapers (2)

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Working Paper: Periodicity in Cryptocurrency Volatility and Liquidity (2021)
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