The Role of Binance in Bitcoin Volatility Transmission.pdf (3.8 MB)
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journal contribution
posted on 2023-06-10, 05:58 authored by Carol AlexanderCarol Alexander, Daniel Frank HeckDaniel Frank Heck, Andreas KaeckAndreas KaeckWe analyse high-frequency realized volatility dynamics and spillovers between centralized crypto exchanges that offer spot and derivative contracts for bitcoin against the US dollar or the stable coin tether. The tether-margined perpetual contract on Binance is clearly the main source of volatility, continuously transmitting strong flows to all other instruments and receiving very little volatility from other sources. We also find that crypto exchanges exhibit much higher interconnectedness when traditional Western stock markets are open. Especially during the US time zone, volatility outflows from Binance are much higher than at other times, and Bitcoin traders are more attentive and reactive to prevailing market conditions. Our results highlight that market regulators should pay more attention to the tether-margined derivatives products available on most self-regulated exchanges, most importantly on Binance.
History
Publication status
- Published
File Version
- Published version
Journal
Applied Mathematical FinanceISSN
1350-486XPublisher
Taylor & FrancisExternal DOI
Issue
1Volume
29Page range
1-32Department affiliated with
- Accounting and Finance Publications
Full text available
- Yes
Peer reviewed?
- Yes