Convergence in cryptocurrency prices? The role of market microstructure
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AbstractDo we observe convergence between cryptocurrencies over time? This study explores this question with eight major cryptocurrencies in circulation and posits a framework to evaluate whether shifts in their market microstructures drive convergence. Three main findings emerge. First, convergence can emerge between cryptocurrencies with distinct technological functions and classifications. Second, market microstructure behavior drives convergence. Third, estimated transition paths show tighter convergence for half of our sampled cryptocurrencies during the time when the Chicago Board of Exchange (CBOE) introduced bitcoin futures contracts.
CitationApergis, N., Koutmos, D. and Payne, J.E., (2020). 'Convergence in cryptocurrency prices? The role of market microstructure'. Finance Research Letters, 101685, pp. 1-22.
JournalFinance Research Letters
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