Please use this identifier to cite or link to this item:
Title: Where is the information on USD/Bitcoin hourly prices?
Authors: Sebastião, Helder 
Duarte, António Portugal 
Guerreiro, Gabriel 
Keywords: Bitcoin; Price discovery; High frequency; Geweke feedback measures; Volume; Volatility
Issue Date: 4-May-2017
Serial title, monograph or event: Notas Económicas
Issue: 45
Abstract: This paper analyses the price discovery in the USD/Bitcoin market since Mar‑2014 to Nov‑2016. The results show a positive relationship between the informational relevance of exchanges and their market shares. Information is mostly transmitted between exchanges within an hour, at least for the main exchanges, although lagged feedbacks occur from the major exchanges. Minor exchanges are merely satellite ones and react to price information with some delay. Bitfinex is the most important exchange: the lagged feedback from this exchange to the market is 18.3%, while the reverse feedback accounts only for 0.6% of the total feedback. Volatility in the major exchanges is the main factor explaining the feedback measures, which sustains the claim that the relative importance of the information‑‑based component of volatility increases with the relative dimension of the exchange.
ISSN: 0872-4733
DOI: 10.14195/2183-203X_45_1
Rights: openAccess
Appears in Collections:I&D CeBER - Artigos em Revistas Nacionais

Files in This Item:
File Description SizeFormat
NE 45 article 1.pdf246.01 kBAdobe PDFView/Open
Show full item record

Page view(s)

checked on May 13, 2021


checked on May 13, 2021

Google ScholarTM




Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.