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Price clustering in Bitcoin market—An extension

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  • Li, Xin
  • Li, Shenghong
  • Xu, Chong

Abstract

This paper extends current literature on price clustering in Bitcoin market. We analyze intraday data of various time frames and document evidence of clustering for open, high and low prices. We discover and explain different patterns of clustering and their relation with the time frame. We further examine the effect of price level on these findings.

Suggested Citation

  • Li, Xin & Li, Shenghong & Xu, Chong, 2020. "Price clustering in Bitcoin market—An extension," Finance Research Letters, Elsevier, vol. 32(C).
    • Handle: RePEc:eee:finlet:v:32:y:2020:i:c:s1544612318305907
    DOI: 10.1016/j.frl.2018.12.020
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    References listed on IDEAS

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    Cited by:

    1. Telli, Şahin & Zhao, Xufeng, 2023. "Clustering in Bitcoin balance," Finance Research Letters, Elsevier, vol. 55(PA).
    2. Aurelio F. Bariviera & Ignasi Merediz‐Solà, 2021. "Where Do We Stand In Cryptocurrencies Economic Research? A Survey Based On Hybrid Analysis," Journal of Economic Surveys, Wiley Blackwell, vol. 35(2), pages 377-407, April.
    3. Donglian Ma & Pengxiang Zhai, 2021. "The Accuracy of the Tick Rule in the Bitcoin Market," SAGE Open, , vol. 11(2), pages 21582440211, May.
    4. Ahmed, Walid M.A., 2021. "Stock market reactions to upside and downside volatility of Bitcoin: A quantile analysis," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
    5. Quiroga-Garcia, Raquel & Pariente-Martinez, Natalia & Arenas-Parra, Mar, 2022. "Evidence for round number effects in cryptocurrencies prices," Finance Research Letters, Elsevier, vol. 47(PB).
    6. Júlio Lobão & Natércia Fortuna & Franklin Silva, 2020. "Do psychological barriers exist in Latin American stock markets?," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, vol. 35(2), pages 29-56, October.

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    More about this item

    Keywords

    Bitcoin; Cryptocurrency; Price clustering; Psychological barrier;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G41 - Financial Economics - - Behavioral Finance - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making in Financial Markets

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