Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/318572 
Erscheinungsjahr: 
2024
Quellenangabe: 
[Journal:] Review of Quantitative Finance and Accounting [ISSN:] 1573-7179 [Volume:] 64 [Issue:] 1 [Publisher:] Springer US [Place:] New York, NY [Year:] 2024 [Pages:] 275-304
Verlag: 
Springer US, New York, NY
Zusammenfassung: 
It is a stylized fact that trading activity, volatility and liquidity in equity and other financial markets follow specific intraday patterns. These patterns are to a large extent determined by institutional features such as exchange trading hours or batch settlement procedures. We analyze the intraday patterns that emerge when these institutional constraints are absent. We compile a large sample of 1940 currency pairs traded on 38 cryptocurrency exchanges located on five continents. These exchanges operate 24 h a day, seven days a week, and settle trades instantly. We find that there are pronounced time-of-day patterns in trading activity, volatility and liquidity. These patterns are remarkably similar across exchanges, time zones and cryptocurrency pairs. Specifically, trading activity, volatility and illiquidity all peak between 16:00 and 17:00 Coordinated Universal Time (UTC), i.e. during U.K. tea time. We find that characteristics of the exchanges (such as their locations) and of the traded currency pairs (e.g. whether two pairs share a common currency) explain some, but not all of the commonality in intraday patterns.
Schlagwörter: 
Cryptocurrencies
Seasonalities
Time-of-the-day patterns
Liquidity
JEL: 
G12
G14
Persistent Identifier der Erstveröffentlichung: 
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Dokumentart: 
Article
Dokumentversion: 
Published Version

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