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' 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
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50201 - Economic Theory
Result continuities
Project
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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
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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