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The Role of Binance in Bitcoin Volatility Transmission

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  • Carol Alexander
  • Daniel F. Heck
  • Andreas Kaeck

Abstract

We analyse high-frequency realized volatility dynamics and spillovers between centralized crypto exchanges that offer spot and derivative contracts for bitcoin against the US dollar or the stable coin tether. The tether-margined perpetual contract on Binance is clearly the main source of volatility, continuously transmitting strong flows to all other instruments and receiving very little volatility from other sources. We also find that crypto exchanges exhibit much higher interconnectedness when traditional Western stock markets are open. Especially during the US time zone, volatility outflows from Binance are much higher than at other times, and Bitcoin traders are more attentive and reactive to prevailing market conditions. Our results highlight that market regulators should pay more attention to the tether-margined derivatives products available on most self-regulated exchanges, most importantly on Binance.

Suggested Citation

  • Carol Alexander & Daniel F. Heck & Andreas Kaeck, 2022. "The Role of Binance in Bitcoin Volatility Transmission," Applied Mathematical Finance, Taylor & Francis Journals, vol. 29(1), pages 1-32, January.
    • Handle: RePEc:taf:apmtfi:v:29:y:2022:i:1:p:1-32
    DOI: 10.1080/1350486X.2022.2125885
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    Cited by:

    1. Chikashi Tsuji, 2025. "The risk–return trade-off of Bitcoin: Evidence from regime-switching analysis," Future Business Journal, Springer, vol. 11(1), pages 1-25, December.
    2. Alexander, Carol & Deng, Jun & Feng, Jianfen & Wan, Huning, 2023. "Net buying pressure and the information in bitcoin option trades," Journal of Financial Markets, Elsevier, vol. 63(C).
    3. Marcin Wk{a}torek & Marcin Kr'olczyk & Jaros{l}aw Kwapie'n & Tomasz Stanisz & Stanis{l}aw Dro.zd.z, 2024. "Approaching multifractal complexity in decentralized cryptocurrency trading," Papers 2411.05951, arXiv.org.
    4. Tsuji, Chikashi, 2025. "Dual asymmetries in Bitcoin," Finance Research Letters, Elsevier, vol. 82(C).
    5. Farag, Hisham & Luo, Di & Yarovaya, Larisa & Zieba, Damian, 2025. "Returns from liquidity provision in cryptocurrency markets," Journal of Banking & Finance, Elsevier, vol. 175(C).
    6. John, Kose & Li, Jingrui, 2025. "Bitcoin price volatility: Effects of retail traders, illegal users, and sentiment," Journal of Corporate Finance, Elsevier, vol. 94(C).
    7. Muhammad Anas & Syed Jawad Hussain Shahzad & Larisa Yarovaya, 2024. "The use of high-frequency data in cryptocurrency research: a meta-review of literature with bibliometric analysis," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-31, December.
    8. Ahmed Mahrous & Maurantonio Caprolu & Roberto Di Pietro, 2025. "Stablecoins: Fundamentals, Emerging Issues, and Open Challenges," Papers 2507.13883, arXiv.org.
    9. Wang, Yifu & Lu, Wanbo & Lin, Min-Bin & Ren, Rui & Härdle, Wolfgang Karl, 2024. "Cross-exchange crypto risk: A high-frequency dynamic network perspective," International Review of Financial Analysis, Elsevier, vol. 94(C).
    10. Jiménez, Inés & Mora-Valencia, Andrés & Perote, Javier, 2024. "Bitcoin halving and the integration of cryptocurrency and forex markets: An analysis of the higher-order moment spillovers," International Review of Economics & Finance, Elsevier, vol. 92(C), pages 302-315.
    11. Alessio Brini & Jimmie Lenz, 2024. "A comparison of cryptocurrency volatility-benchmarking new and mature asset classes," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-38, December.
    12. Alessio Brini & Jimmie Lenz, 2024. "A Comparison of Cryptocurrency Volatility-benchmarking New and Mature Asset Classes," Papers 2404.04962, arXiv.org.
    13. Galati, Luca, 2024. "Exchange market share, market makers, and murky behavior: The impact of no-fee trading on cryptocurrency market quality," Journal of Banking & Finance, Elsevier, vol. 165(C).
    14. Jiménez, Inés & Mora-Valencia, Andrés & Perote, Javier, 2023. "Multivariate dynamics between emerging markets and digital asset markets: An application of the SNP-DCC model," Emerging Markets Review, Elsevier, vol. 56(C).
    15. Bouteska, Ahmed & Sharif, Taimur & Isskandarani, Layal & Abedin, Mohammad Zoynul, 2025. "Market efficiency and its determinants: Macro-level dynamics and micro-level characteristics of cryptocurrencies," International Review of Economics & Finance, Elsevier, vol. 98(C).
    16. Nadhira Khezami & Nourcherif Gharbi & Bilel Neji & Naceur Benhadj Braiek, 2022. "Blockchain Technology Implementation in the Energy Sector: Comprehensive Literature Review and Mapping," Sustainability, MDPI, vol. 14(23), pages 1-45, November.
    17. Huang, Zih-Chun & Sangiorgi, Ivan & Urquhart, Andrew, 2024. "Forecasting Bitcoin volatility using machine learning techniques," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 97(C).
    18. Ahmed, Mohamed Shaker & El-Masry, Ahmed A. & Al-Maghyereh, Aktham I. & Kumar, Satish, 2024. "Cryptocurrency volatility: A review, synthesis, and research agenda," Research in International Business and Finance, Elsevier, vol. 71(C).
    19. Afzol Husain & Kwang-Jing Yii & Chorng Yuan Fung & Richard Busulwa, 2025. "Portfolio risk of cryptocurrency inclusion: a comparison among conventional cryptocurrencies and asset-backed cryptocurrencies," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 15(3), pages 687-739, September.

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