Publication detail

Ji, Q. & Bouri, E. & Kristoufek, L. & Lucey, B.: Realised volatility connectedness among Bitcoin exchange markets

Author(s): prof. PhDr. Ladislav Krištoufek Ph.D., Ji, Q.; Bouri, E.; Lucey, B.
Type: Articles in journals with impact factor
Year: 2019
Number: 0
Published in: Finance Research Letters 38:101391 PDF
Publishing place:
Keywords: Realised volatility; Bitcoin exchanges; connectedness
JEL codes:
Suggested Citation:
Grants: PRIMUS/19/HUM/17 2019-2021 Behavioral finance and macroeconomics: New insights for the mainstream
Abstract: This paper examines the system of Bitcoin exchanges with respect to their common dynamics. We employ connectedness measures based on the daily realised volatility of Bitcoin prices, for which the results reveal that Coinbase is the clear leader of the market, while Binance ranks surprisingly weak. The positions of specific exchanges within the network of connectedness seem to be driven by these exchanges’ own characteristics, from which trading in USD rather than USDT (Tether) stands out. Our findings suggest that safer asset withdrawal matters more to the volatility connectedness among Bitcoin exchanges than does trading volume.


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