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Periodicity in Cryptocurrency Volatility and Liquidity

Author

Listed:
  • Peter Reinhard Hansen
  • Chan Kim
  • Wade Kim

Abstract

We study recurrent patterns in volatility and volume for major cryptocurrencies, Bitcoin and Ether, using data from two centralized exchanges (CEXs; Coinbase Pro and Binance) and a decentralized exchange (DEX; Uniswap V2). We find systematic patterns in both volatility and volume across day-of-the-week, hour-of-the-day, and within the hour. These patterns have grown stronger over the years and are presumably related to algorithmic trading and funding times in futures markets. We also document that price formation mainly takes place on the CEXs while price adjustments on the DEXs can be sluggish.

Suggested Citation

  • Peter Reinhard Hansen & Chan Kim & Wade Kim, 2024. "Periodicity in Cryptocurrency Volatility and Liquidity," Journal of Financial Econometrics, Oxford University Press, vol. 22(1), pages 224-251.
    • Handle: RePEc:oup:jfinec:v:22:y:2024:i:1:p:224-251.
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    File URL: http://hdl.handle.net/10.1093/jjfinec/nbac034
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    Cited by:

    1. Carol Alexander & Xi Chen & Jun Deng & Qi Fu, 2025. "Price Discovery and Efficiency in Uniswap Liquidity Pools," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 45(8), pages 1023-1048, August.
    2. Jasiak, Joann & Zhong, Cheng, 2024. "Intraday and daily dynamics of cryptocurrency," International Review of Economics & Finance, Elsevier, vol. 96(PB).
    3. Yufan Chen & Lan Wu & Renyuan Xu & Ruixun Zhang, 2024. "Periodic Trading Activities in Financial Markets: Mean-field Liquidation Game with Major-Minor Players," Papers 2408.09505, arXiv.org.
    4. Saggu, Aman & Ante, Lennart & Kopiec, Kaja, 2025. "Uncertain Regulations, Definite Impacts: The Impact of the U.S. Securities and Exchange Commission's Regulatory Interventions on Crypto Assets," Finance Research Letters, Elsevier, vol. 72(C).
    5. Namryoung Lee, 2024. "Joint Impact of Market Volatility and Cryptocurrency Holdings on Corporate Liquidity: A Comparative Analysis of Cryptocurrency Exchanges and Other Firms," JRFM, MDPI, vol. 17(9), pages 1-20, September.
    6. Alexander Brauneis & Roland Mestel & Erik Theissen, 2025. "The crypto world trades at tea time: intraday evidence from centralized exchanges across the globe," Review of Quantitative Finance and Accounting, Springer, vol. 64(1), pages 275-304, January.

    More about this item

    Keywords

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    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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