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Financial Innovation

Table 4 The scale of price clustering on hour dummies with control variables

From: Intraday patterns of price clustering in Bitcoin

 

Coincheck

BtcBox

bitFlyer

 

AVG

CR

AVG

CR

AVG

CR

 

(1)

(2)

(1)

(2)

(1)

(2)

Intercept

0.1353***

0.0370**

0.2334***

0.3631***

\(-\) 0.3990***

\(-\) 0.2459***

(0.0091)

(0.0120)

(0.0100)

(0.0097)

(0.0224)

(0.0323)

GMT01_JST10

0.0007

0.0031

0.0096*

0.0094*

0.0109**

0.0208***

(0.0030)

(0.0041)

(0.0048)

(0.0044)

(0.0039)

(0.0058)

GMT02_JST11

\(-\) 0.0021

\(-\) 0.0024

0.0100*

0.0129**

0.0085*

0.0123*

(0.0029)

(0.0040)

(0.0048)

(0.0044)

(0.0039)

(0.0056)

GMT03_JST12

0.0031

0.0022

0.0083

0.0113**

0.0162***

0.0210***

(0.0030)

(0.0040)

(0.0048)

(0.0044)

(0.0039)

(0.0057)

GMT04_JST13

0.0011

0.0012

0.0071

0.0123**

0.0140***

0.0239***

(0.0031)

(0.0041)

(0.0049)

(0.0045)

(0.0039)

(0.0057)

GMT05_JST14

0.0001

0.0047

0.0064

0.0122**

0.0092*

0.0102

(0.0029)

(0.0041)

(0.0048)

(0.0045)

(0.0041)

(0.0058)

GMT06_JST15

0.0026

0.0053

\(-\) 0.0007

0.0034

0.0123**

0.0176**

(0.0031)

(0.0041)

(0.0049)

(0.0043)

(0.0040)

(0.0058)

GMT07_JST16

0.0027

0.0064

\(-\) 0.0013

0.0065

0.0120**

0.0159**

(0.0030)

(0.0041)

(0.0049)

(0.0046)

(0.0041)

(0.0059)

GMT08_JST17

0.0026

0.0076

\(-\) 0.0043

0.0068

0.0062

0.0100

(0.0030)

(0.0042)

(0.0049)

(0.0047)

(0.0038)

(0.0055)

GMT09_JST18

0.0017

0.0079

\(-\) 0.0044

0.0082

0.0062

0.0064

(0.0031)

(0.0043)

(0.0052)

(0.0050)

(0.0038)

(0.0056)

GMT10_JST19

\(-\) 0.0013

0.0021

\(-\) 0.0047

0.0079

0.0029

\(-\) 0.0037

(0.0029)

(0.0040)

(0.0052)

(0.0050)

(0.0037)

(0.0054)

GMT11_JST20

0.0036

0.0085*

\(-\) 0.0074

0.0077

0.0052

\(-\) 0.0026

(0.0031)

(0.0043)

(0.0053)

(0.0051)

(0.0037)

(0.0054)

GMT12_JST21

0.0040

0.0049

\(-\) 0.0030

0.0124*

0.0069

\(-\) 0.0031

(0.0030)

(0.0040)

(0.0053)

(0.0051)

(0.0037)

(0.0053)

GMT13_JST22

0.0049

0.0078

\(-\) 0.0005

0.0157**

0.0114**

0.0009

(0.0029)

(0.0041)

(0.0053)

(0.0053)

(0.0038)

(0.0053)

GMT14_JST23

0.0045

0.0067

\(-\) 0.0011

0.0140**

0.0021

\(-\) 0.0081

(0.0031)

(0.0041)

(0.0053)

(0.0052)

(0.0038)

(0.0053)

GMT15_JST00

\(-\) 0.0016

\(-\) 0.0026

\(-\) 0.0048

0.0103*

\(-\) 0.0105**

\(-\) 0.0225***

(0.0029)

(0.0039)

(0.0053)

(0.0051)

(0.0038)

(0.0053)

GMT16_JST01

\(-\) 0.0042

\(-\) 0.0054

\(-\) 0.0148**

0.0047

\(-\) 0.0293***

\(-\) 0.0396***

(0.0031)

(0.0041)

(0.0053)

(0.0051)

(0.0037)

(0.0053)

GMT17_JST02

\(-\) 0.0119***

\(-\) 0.0189***

\(-\) 0.0274***

\(-\) 0.0078

\(-\) 0.0469***

\(-\) 0.0588***

(0.0030)

(0.0041)

(0.0052)

(0.0050)

(0.0036)

(0.0054)

GMT18_JST03

\(-\) 0.0151***

\(-\) 0.0262***

\(-\) 0.0373***

\(-\) 0.0161***

\(-\) 0.0545***

\(-\) 0.0728***

(0.0032)

(0.0041)

(0.0051)

(0.0048)

(0.0038)

(0.0057)

GMT19_JST04

\(-\) 0.0210***

\(-\) 0.0365***

\(-\) 0.0459***

\(-\) 0.0235***

\(-\) 0.0501***

\(-\) 0.0748***

(0.0031)

(0.0040)

(0.0051)

(0.0050)

(0.0039)

(0.0056)

GMT20_JST05

\(-\) 0.0214***

\(-\) 0.0367***

\(-\) 0.0428***

\(-\) 0.0176***

\(-\) 0.0526***

\(-\) 0.0742***

(0.0030)

(0.0038)

(0.0052)

(0.0051)

(0.0037)

(0.0053)

GMT21_JST06

\(-\) 0.0145***

\(-\) 0.0195***

\(-\) 0.0278***

\(-\) 0.0052

\(-\) 0.0301***

\(-\) 0.0494***

(0.0031)

(0.0041)

(0.0051)

(0.0049)

(0.0038)

(0.0054)

GMT22_JST07

\(-\) 0.0079*

\(-\) 0.0144***

\(-\) 0.0239***

\(-\) 0.0028

\(-\) 0.0109**

\(-\) 0.0256***

(0.0032)

(0.0042)

(0.0051)

(0.0050)

(0.0037)

(0.0054)

GMT23_JST08

\(-\) 0.0048

\(-\) 0.0056

\(-\) 0.0106*

0.0053

\(-\) 0.0040

\(-\) 0.0165**

(0.0031)

(0.0042)

(0.0049)

(0.0048)

(0.0038)

(0.0055)

logMeanp

\(-\) 0.0031***

0.0041***

0.0152***

\(-\) 0.0007

0.0500***

0.0378***

(0.0009)

(0.0012)

(0.0009)

(0.0009)

(0.0020)

(0.0029)

logCount

\(-\) 0.0060***

0.0069***

\(-\) 0.0478***

\(-\) 0.0315***

\(-\) 0.0550***

\(-\) 0.0283***

(0.0008)

(0.0010)

(0.0008)

(0.0008)

(0.0019)

(0.0027)

logVolsum

0.0017**

\(-\) 0.0038***

\(-\) 0.0175***

\(-\) 0.0291***

0.0531***

0.0319***

(0.0005)

(0.0007)

(0.0006)

(0.0006)

(0.0015)

(0.0021)

Rangep

0.3730***

0.3923***

1.3696***

1.2711***

1.5050***

0.5059***

(0.0244)

(0.0329)

(0.0476)

(0.0470)

(0.0714)

(0.1030)

RV

1.3628***

1.1708***

\(-\) 0.0144

\(-\) 0.0253

\(-\) 0.3315**

\(-\) 0.6889***

(0.0680)

(0.0902)

(0.0142)

(0.0139)

(0.1284)

(0.1858)

\(N\)

46,064

46,064

45,595

45,595

15,746

15,746

Log likelihood

42,027.86

29,193.41

17,229.4

17,665.75

19,677.46

13,887.94

Wald Chi2(28)

2153.47***

2053.13***

14,495.64***

14,804.75***

5761.30***

2379.51***

  1. This table reports the regression results of the hourly price clustering degree on 23 hour dummies with control variables. AVG represents the simple average of DIGIT00, while CR (concentration ratio) refers to the volume-weighted average of DIGIT00. Standard errors are reported in parentheses. The number of observations (N), log likelihood, and Chi squared (Chi2) are also reported. Data from bitFlyer in regressions span continuously from August 1, 2017 to May 26, 2019, whereas data from Coincheck and BtcBox are sampled from January 1, 2015 to April 30, 2020. ***, **, and * denote statistical significance at the 0.1%, 1%, and 5% levels, respectively
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