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Intraday price behavior of cryptocurrencies

Author

Listed:
  • Hu, Bill
  • McInish, Thomas
  • Miller, Jonathan
  • Zeng, Li

Abstract

We are the first to investigate intraday price behavior of cryptocurrencies. Trade prices cluster on round numbers throughout the day. The clustering increases with price level and pricing uncertainty. There is also strategic pricing at just below or above round numbers. At the transaction level, we find that prices are mainly formed due to negotiations and strategic trading, instead of based on psychologically appealing numbers in the order of 0, 5, and others.

Suggested Citation

  • Hu, Bill & McInish, Thomas & Miller, Jonathan & Zeng, Li, 2019. "Intraday price behavior of cryptocurrencies," Finance Research Letters, Elsevier, vol. 28(C), pages 337-342.
    • Handle: RePEc:eee:finlet:v:28:y:2019:i:c:p:337-342
    DOI: 10.1016/j.frl.2018.06.002
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    References listed on IDEAS

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    Keywords

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    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • 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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