The crypto world trades at tea time: intraday evidence from centralized exchanges across the globe

Brauneis, A. ORCID: 0000-0001-6965-5492, Mestel, R. and Theissen, E., 2024. The crypto world trades at tea time: intraday evidence from centralized exchanges across the globe. Review of Quantitative Finance and Accounting. ISSN 0924-865X

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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 illiquid-ity 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.

Item Type: Journal article
Publication Title: Review of Quantitative Finance and Accounting
Creators: Brauneis, A., Mestel, R. and Theissen, E.
Publisher: Springer
Date: 10 June 2024
ISSN: 0924-865X
Rights: This article is licensed under a Creative Commons Attribution 4.0 International License, which permits use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons licence, and indicate if changes were made. The images or other third party material in this article are included in the article's Creative Commons licence, unless indicated otherwise in a credit line to the material. If material is not included in the article's Creative Commons licence and your intended use is not permitted by statutory regulation or exceeds the permitted use, you will need to obtain permission directly from the copyright holder. To view a copy of this licence, visit
Divisions: Schools > Nottingham Business School
Record created by: Jonathan Gallacher
Date Added: 17 Jun 2024 13:42
Last Modified: 17 Jun 2024 13:42

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