Publication date: Available online 3 December 2019
Source: Finance Research Letters
Author(s): Qiang Ji, Elie Bouri, Ladislav Kristoufek, Brian Lucey
Abstract
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 exchangesâ 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.