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Seeking sigma: Time-of-the-day effects on the Bitcoin network

Jahanshahloo, Hossein ORCID: https://orcid.org/0000-0003-0786-2415, Corbet, Shaen and Oxley, Les 2022. Seeking sigma: Time-of-the-day effects on the Bitcoin network. Finance Research Letters 49 , 103101. 10.1016/j.frl.2022.103101

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License Start date: 28 June 2022

Abstract

This research investigates and tests for the presence of time-of-the-day effects on the Bitcoin network. Results indicate that NYSE trading sessions lead Bitcoin trading activity, both on the blockchain and centralised exchanges. Effects are found to have strengthened over time, however, simultaneously diminished at the weekend indicating significant exchange interactions, and that Bitcoin has developed somewhat outside its intended design parameters and is influenced by other forces such as those originating from NYSE trading. While proponents consider Bitcoin trading to be ‘24/7’, our findings suggest that both transaction and on-chain network activity are best described to be, at best, ‘12/5’, presenting significant implications for traders, with regards to centralised exchange liquidity and the speed of their transaction inclusion on the blockchain. Finally, the role and influence of both algorithm and volatility traders cannot be eliminated.

Item Type: Article
Date Type: Publication
Status: Published
Schools: Business (Including Economics)
Additional Information: License information from Publisher: LICENSE 1: URL: http://creativecommons.org/licenses/by/4.0/, Start Date: 2022-06-28
Publisher: Elsevier
ISSN: 1544-6123
Date of First Compliant Deposit: 6 July 2022
Date of Acceptance: 24 June 2022
Last Modified: 10 Nov 2022 11:35
URI: https://orca.cardiff.ac.uk/id/eprint/151082

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