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The intraday dynamics of bitcoin

Author

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  • Eross, Andrea
  • McGroarty, Frank
  • Urquhart, Andrew
  • Wolfe, Simon
Abstract
Bitcoin has received much investor attention in recent years and following this, there has been an explosion of academic studies examining this new financial asset. We contribute to the growing literature of Bitcoin by examining the intraday variables of the leading Bitcoin exchange with the highest information share over 4 years’ worth of data to reveal the intraday stylized facts of Bitcoin and how they have developed over time. Employing GMT-timestamped tick data aggregated to the 5-mintuely frequency, we find that Bitcoin returns have increased over time, while trading volume, volatility and liquidity varied substantially over time. We also find that volume increases throughout the day and falls from around 4 pm until midnight, which is consistent with the intraday patterns found in currency markets. Realised volatility is fairly consistent throughout the day although it is highest during the opening times of the three major global stock markets. Also liquidity is highest during the opening times of the major global exchanges and the markets tend to be illiquid during the early morning. Finally, we show evidence of the mixture of distribution hypothesis of Clark (1973).

Suggested Citation

  • Eross, Andrea & McGroarty, Frank & Urquhart, Andrew & Wolfe, Simon, 2019. "The intraday dynamics of bitcoin," Research in International Business and Finance, Elsevier, vol. 49(C), pages 71-81.
    • Handle: RePEc:eee:riibaf:v:49:y:2019:i:c:p:71-81
    DOI: 10.1016/j.ribaf.2019.01.008
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    References listed on IDEAS

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    More about this item

    Keywords

    Bitcoin; Cryptocurrency; Intraday patterns; Granger causality; Lead-lag; High-frequency;
    All these keywords.

    JEL classification:

    • F30 - International Economics - - International Finance - - - General
    • G02 - Financial Economics - - General - - - Behavioral Finance: Underlying Principles
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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