The Role of Binance in Bitcoin Volatility Transmission

@article{Alexander2021TheRO,
  title={The Role of Binance in Bitcoin Volatility Transmission},
  author={Carol Alexander and Daniel F. Heck and Andreas Kaeck},
  journal={Consumer Financial Fraud eJournal},
  year={2021}
}
We analyse high-frequency realised volatility dynamics and spillovers in the bitcoin market, focusing on two pairs: bitcoin against the US dollar (the main fiat-crypto pair) and trading bitcoin against tether (the main crypto-crypto pair). We find that the tether-margined perpetual contract on Binance is clearly the main source of volatility, continuously transmitting strong flows to all other instruments and receiving only a little volatility. Moreover, we find that (i) during US trading hours… Expand
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