Price clustering in Bitcoin

被引：245

作者：

Urquhart, Andrew ^{[1
]}

机构：

[1] Univ Southampton, Ctr Digital Finance, Southampton Business Sch, Southampton SO17 1BJ, Hants, England

来源：

ECONOMICS LETTERS | 2017年 / 159卷

关键词：

Bitcoin; Price clustering; Cryptocurrency; PSYCHOLOGICAL BARRIERS; STOCK-EXCHANGE; MARKET; VOLATILITY;

D O I：

10.1016/j.econlet.2017.07.035

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Investor and media attention in Bitcoin has increased substantially in recently years, reflected by the incredible surge in news articles and considerable rise in the price of Bitcoin. Given the increased attention, there little is known about the behaviour of Bitcoin prices and therefore we add to the literature by studying price clustering. We find significant evidence of clustering at round numbers, with over 10% of prices ending with 00 decimals compared to other variations but there is no significant pattern of returns after the round number. We also support the negotiation hypothesis of Harris (1991) by showing that price and volume have a significant positive relationship with price clustering at whole numbers. (C) 2017 Elsevier B.V. All rights reserved.

引用

页码：145 / 148

页数：4

共 19 条

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