Please use this identifier to cite or link to this item: http://hdl.handle.net/10316/84804
DC FieldValueLanguage
dc.contributor.authorSebastião, Helder-
dc.contributor.authorDuarte, António Portugal-
dc.contributor.authorGuerreiro, Gabriel-
dc.date.accessioned2019-02-01T10:52:08Z-
dc.date.available2019-02-01T10:52:08Z-
dc.date.issued2017-05-04-
dc.identifier.issn0872-4733pt
dc.identifier.urihttp://hdl.handle.net/10316/84804-
dc.description.abstractThis 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.pt
dc.language.isoengpt
dc.rightsopenAccesspt
dc.subjectBitcoinpt
dc.subjectPrice discoverypt
dc.subjectHigh frequencypt
dc.subjectGeweke feedback measurespt
dc.subjectVolumept
dc.subjectVolatilitypt
dc.titleWhere is the information on USD/Bitcoin hourly prices?pt
dc.typearticle-
degois.publication.firstPage7pt
degois.publication.lastPage25pt
degois.publication.issue45pt
degois.publication.titleNotas Económicaspt
dc.peerreviewedyespt
dc.identifier.doi10.14195/2183-203X_45_1pt
dc.date.embargo2017-05-04*
dc.date.periodoembargo0pt
uc.controloAutoridadeSim-
item.fulltextCom Texto completo-
item.languageiso639-1en-
item.grantfulltextopen-
crisitem.author.deptFaculty of Economics-
crisitem.author.deptFaculty of Economics-
crisitem.author.deptFaculty of Sciences and Technology-
crisitem.author.parentdeptUniversity of Coimbra-
crisitem.author.researchunitGroup for Monetary and Financial Studies-
crisitem.author.researchunitCeBER – Centre for Business and Economics Research-
crisitem.author.researchunitGroup for Monetary and Financial Studies-
crisitem.author.researchunitCeBER – Centre for Business and Economics Research-
crisitem.author.researchunitBiosystems & Integrative Sciences Institute-
crisitem.author.orcid0000-0002-1743-6869-
crisitem.author.orcid0000-0002-5388-0051-
crisitem.author.orcid0000-0001-9010-2390-
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 simple item record

Page view(s)

254
checked on Jun 10, 2021

Download(s)

210
checked on Jun 10, 2021

Google ScholarTM

Check

Altmetric

Altmetric


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