Where is the information on USD/Bitcoin hourly prices?
Autor(a) principal: | |
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Data de Publicação: | 2017 |
Outros Autores: | , |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10316/84804 https://doi.org/10.14195/2183-203X_45_1 |
Resumo: | 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. |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Where is the information on USD/Bitcoin hourly prices?BitcoinPrice discoveryHigh frequencyGeweke feedback measuresVolumeVolatilityThis 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.2017-05-04info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlehttp://hdl.handle.net/10316/84804http://hdl.handle.net/10316/84804https://doi.org/10.14195/2183-203X_45_1eng0872-4733Sebastião, HelderDuarte, António PortugalGuerreiro, Gabrielinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2020-05-29T10:05:16Zoai:estudogeral.uc.pt:10316/84804Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T21:06:19.761433Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Where is the information on USD/Bitcoin hourly prices? |
title |
Where is the information on USD/Bitcoin hourly prices? |
spellingShingle |
Where is the information on USD/Bitcoin hourly prices? Sebastião, Helder Bitcoin Price discovery High frequency Geweke feedback measures Volume Volatility |
title_short |
Where is the information on USD/Bitcoin hourly prices? |
title_full |
Where is the information on USD/Bitcoin hourly prices? |
title_fullStr |
Where is the information on USD/Bitcoin hourly prices? |
title_full_unstemmed |
Where is the information on USD/Bitcoin hourly prices? |
title_sort |
Where is the information on USD/Bitcoin hourly prices? |
author |
Sebastião, Helder |
author_facet |
Sebastião, Helder Duarte, António Portugal Guerreiro, Gabriel |
author_role |
author |
author2 |
Duarte, António Portugal Guerreiro, Gabriel |
author2_role |
author author |
dc.contributor.author.fl_str_mv |
Sebastião, Helder Duarte, António Portugal Guerreiro, Gabriel |
dc.subject.por.fl_str_mv |
Bitcoin Price discovery High frequency Geweke feedback measures Volume Volatility |
topic |
Bitcoin Price discovery High frequency Geweke feedback measures Volume Volatility |
description |
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. |
publishDate |
2017 |
dc.date.none.fl_str_mv |
2017-05-04 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10316/84804 http://hdl.handle.net/10316/84804 https://doi.org/10.14195/2183-203X_45_1 |
url |
http://hdl.handle.net/10316/84804 https://doi.org/10.14195/2183-203X_45_1 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
0872-4733 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
repository.mail.fl_str_mv |
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1799133953721892864 |