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Realised volatility connectedness among Bitcoin exchange markets

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F21%3A10425215" target="_blank" >RIV/00216208:11230/21:10425215 - isvavai.cz</a>

  • Result on the web

    <a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=DKGzSJWK4h" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=DKGzSJWK4h</a>

  • DOI - Digital Object Identifier

    <a href="http://dx.doi.org/10.1016/j.frl.2019.101391" target="_blank" >10.1016/j.frl.2019.101391</a>

Alternative languages

  • Result language

    angličtina

  • Original language name

    Realised volatility connectedness among Bitcoin exchange markets

  • Original language description

    This paper examines the system of Bitcoin exchanges with respect to their common dynamics. We employ connectedness measures based on the daily realised volatility of Bitcoin prices, for which the results reveal that Coinbase is the clear leader of the market, while Binance ranks surprisingly weak. The positions of specific exchanges within the network of connectedness seem to be driven by these exchanges&apos; own characteristics, from which trading in USD rather than USDT (Tether) stands out. Our findings suggest that safer asset withdrawal matters more to the volatility connectedness among Bitcoin exchanges than does trading volume.

  • Czech name

  • Czech description

Classification

  • Type

    J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database

  • CEP classification

  • OECD FORD branch

    50201 - Economic Theory

Result continuities

  • Project

  • Continuities

    I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Others

  • Publication year

    2021

  • Confidentiality

    S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Data specific for result type

  • Name of the periodical

    Finance Research Letters

  • ISSN

    1544-6123

  • e-ISSN

  • Volume of the periodical

    38

  • Issue of the periodical within the volume

    January

  • Country of publishing house

    US - UNITED STATES

  • Number of pages

    5

  • Pages from-to

    101391

  • UT code for WoS article

    000614074100031

  • EID of the result in the Scopus database

    2-s2.0-85080055410