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Where is the Information on USD/Bitcoin Hourly Prices?

Author

Listed:
  • Helder Sebastião

    (Faculdade de Economia Universidade de Coimbra)

  • António Portugal Duarte

    (Faculdade de Economia Universidade de Coimbra)

  • Gabriel Guerreiro

    (Faculdade de Economia Universidade de Coimbra)

Abstract

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.

Suggested Citation

  • Helder Sebastião & António Portugal Duarte & Gabriel Guerreiro, 2017. "Where is the Information on USD/Bitcoin Hourly Prices?," Notas Económicas, Faculty of Economics, University of Coimbra, issue 45, pages 7-25, December.
    • Handle: RePEc:gmf:journl:y:2017:i:45:p:7:25
    DOI: 10.14195/2183-203X_45_1
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    More about this item

    Keywords

    Bitcoin; price discovery; high frequency; Geweke feedback measures; volume; volatility.;
    All these keywords.

    JEL classification:

    • F13 - International Economics - - Trade - - - Trade Policy; International Trade Organizations
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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