Realised volatility connectedness among Bitcoin exchange markets

被引：48

作者：

Ji, Qiang ^{[1
,2
]}

Bouri, Elie ^{[3
]}

Kristoufek, Ladislav ^{[4
]}

Lucey, Brian ^{[5
]}

机构：

[1] Chinese Acad Sci, Inst Sci, Beijing 100190, Peoples R China

[2] Univ Chinese Acad Sci, Sch Publ Policy & Management, Beijing 100049, Peoples R China

[3] Holy Spirit Univ Kaslik, Jounieh, Lebanon

[4] Charles Univ Prague, Fac Social Sci, Inst Econ Studies, Prague, Czech Republic

[5] Trinity Coll Dublin, Trinity Business Sch, Dublin 2, Ireland

来源：

FINANCE RESEARCH LETTERS | 2021年 / 38卷

基金：

中国国家自然科学基金;

关键词：

Realised volatility; Bitcoin exchanges; Connectedness; SPILLOVERS; OIL; CRYPTOCURRENCY; PRICES; ENERGY;

D O I：

10.1016/j.frl.2019.101391

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页数：5

共 23 条

[1] Econometric analysis of realized volatility and its use in estimating stochastic volatility models [J].