An investigation of cryptocurrency data: the market that never sleeps

David Vidal-Tomás

Quantitative Finance, 2021, vol. 21, issue 12, 2007-2024

Abstract: Since the creation of Bitcoin, the adequacy of data in the cryptocurrency market has not been widely analysed by scholars. Indeed, the research conducted by Alexander and Dakos (2020) is the only one that has focused on the properties and differences of several data sources, underlining inconsistencies in the time series of prices. In our paper, we contribute to this strand of the literature by examining one of the main features of digital currencies: the cryptocurrency market never sleeps. Given that cryptocurrencies trade on a 24/7 basis, specialised crypto companies offer two kinds of prices (close and weighted prices) to proxy Bitcoin daily prices. However, scholars and practitioners have not considered this issue in their analyses. We show that these prices are statistically different, which affects the financial decisions of investors and the most relevant fields in the cryptocurrency market (efficiency, risk management and volatility forecasting). Therefore, our paper demonstrates that the data processing used by specialised crypto firms is a relevant issue that changes the underlying mechanism of Bitcoin data, affecting the results of investors and scholars.

Date: 2021
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DOI: 10.1080/14697688.2021.1930124

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