The purpose of this study is to explore the market maturity of cryptocurrency trading platforms based on the information transmission perspective of financial market price volatility. This study uses the volatility spillovers index proposed by Diebold and Yilmaz [1][2] and uses the bitcoin trading platform to measure the total price volatility of cryptocurrency trading platforms, and the directional spillovers among the trading platforms. The sample period is from January 1, 2015 to September 30, 2018. In the empirical process, each sub-sample is taken every three months. The argument of this research indicated that if the cryptocurrency trading platforms’ total spillover effects, with the rolling of the sub-sample period, show the increasing trend, and the trading platform has a staggered spillover effect with each other, indicating that cryptocurrency trading platforms exist the chaotic phenomenon, and the cryptocurrency market is in a stage of low maturity. On the contrary, if the total spillover effects are showing a decreasing trend and the spillover effects are mainly from a certain minority trading platforms, indicating that the cryptocurrency trading platforms present the order phenomenon, and cryptocurrency market is at a stage of high maturity. The contribution of this research is to identify the market maturity of the cryptocurrency trading platform, and to promote policy makers to propose a market-building mechanism for the market situation, so that the cryptocurrency has the opportunity to become a mainstream trading tool.

1. Order or Chaos:
The Case of Cryptocurrency Platform
Tsung-Han Ke,
Hung-Chun Huang,
Hsin-Yu Shih
National Chi Nan University, TAIWAN
Session: Tuesday, August 27, 2019 at 1030 to 1200
Paper ID: 19R0048
Speaker: Hung-Chun Huang

2. Background Purpose Empirical Studies Conclusion

3. Background Purpose Empirical Studies Conclusion
Source: Mark
Lombardi, "Oliver
North, Lake
Resources of
Panama, and the
Iran-Contra
Operation, ca. 1984-
86 (fourth version),"
1999. Image credit:
BOMB.

4. Background
Order
Chaos
The price level of the trading medium
will not be greatly adjusted due to the
influence of price-related information.
the transaction medium is mature.
the transaction medium is pre-mature.
Price-related
Information
Richard H. Day

5. Background Purpose Empirical Studies Conclusion
?
Order
Chaos
The Cryptocurrency is a stable
transaction medium? If not, so what?
What’s implication to MET?

6. Background Purpose Empirical Studies Conclusion
Transaction
Platforms
Currency Description
Bitfinex USD
Bitfinex is a crypto-currency exchange trading and currency-storage
platform, owned and operated by iFinex Inc.
OKCoin USD
OKCoin is a digital asset trading platform providing spot trading services
between the US dollar, Euro, and Japanese Yen as fiat currencies, and
Bitcoin, Litecoin, Ethereum and other digital assets to customers around
the globe.
GDAX USD
GDAX offers institutions and professionals the ability to trade a variety of
digital currencies like Bitcoin, Ethereum, and more on a regulated U.S.
based exchange.
ANX USD
ANX is a trading platform for buying and selling Bitcoin in AUD, CAD,
CHF, EUR, GBP, HKD, JPY, NZD, SGD and USD currencies.
Kraken USD
Kraken is a prominent bitcoin exchange operating in Canada, the EU,
Japan, and the US, and the world's largest bitcoin exchange in euro
volume and liquidity.
itBit USD
itBit is the Bitcoin branch of NY based blockchain company Paxos. itBit
re-branded as Paxos in September 2016.
BitStamp USD
A "Big Four" bitcoin exchange in the world, which operates a BTC/USD
market with support for various currencies for deposit and withdrawal.
Source: Bitcoin Wiki: https://en.bitcoin.it/wiki/Main_Page

7. Empirical Studies This study measures the
“The volatility spillovers index”
within transaction platforms
Diebold and Yilmaz

8. Background Purpose Empirical Studies Conclusion
The sub-sample period The Total Spillovers(%)
2015/1-2015/3 77.2
2015/4-2015/6 65.5
2015/7-2015/9 81.9
2015/10-2015/12 78.1
2016/1-2016/3 77.3
2016/4-2016/6 77.3
2016/7-2016/9 83.3
2016/10-2016/12 70.4
2017/1-2017/3 79.2
2017/4-2017/6 61.5
2017/7-2017/9 79.9
2017/10-2017/12 80.5
2018/1-2018/3 75.4
2018/4-2018/6 77.7
2018/7-2018/9 83.2
2018/10-2018/12 76.5
information
spillover effects
remain HIGH
the total spillovers are
almost in a stable state,
maintained at the range from
61.5% to 83.3%.
trading platform did not show
a decreasing trend, and the
spillover of volatility
continued to maintain more
than 60%.

9. Background Purpose Empirical Studies Conclusion
The sub-sample period The Total Spillovers(%)
2015/1-2015/3 77.2
2015/4-2015/6 65.5
2015/7-2015/9 81.9
2015/10-2015/12 78.1
2016/1-2016/3 77.3
2016/4-2016/6 77.3
2016/7-2016/9 83.3
2016/10-2016/12 70.4
2017/1-2017/3 79.2
2017/4-2017/6 61.5
2017/7-2017/9 79.9
2017/10-2017/12 80.5
2018/1-2018/3 75.4
2018/4-2018/6 77.7
2018/7-2018/9 83.2
2018/10-2018/12 76.5
Cryptocurrency
remain stating in
Chaotic
trading platform
demonstrated that is
affected by price-related
information.

10. The sub-
sample
Bitfinex OKCoin GDAX ANX Kraken itBit BitStamp
2015/1-2015/3 20.6 88.2 99.1 56.4 84.1 97.8 94
2015/4-2015/6 3.6 93.8 97.1 17.7 55.7 96.4 94.1
2015/7-2015/9 6.3 89.9 96.8 88 98.7 98.7 94.9
2015/10-
2015/12 2.3 95.1 88.3 63.3 83.6 95.1 98.4
2016/1-2016/3 5.6 98.8 98.4 40.6 98.6 99.5 99.8
2016/4-2016/6 30.5 97.3 82.9 43.8 97.3 98.9 90.3
2016/7-2016/9 89.2 60.4 87.5 79.8 97.9 70.2 97.9
2016/10-
2016/12 24.4 78.2 89.1 24.6 94.6 89.1 93.1
2017/1-2017/3 30.1 91 91.6 59.7 94.2 95.2 92.8
2017/4-2017/6 25.4 42.3 83.6 41.1 65.8 85.3 86.8
2017/7-2017/9 4.6 86.3 97.6 75.9 98 98.3 98.8
2017/10-
2017/12 32.4 83.3 82.9 73.9 97.9 95 98.4
2018/1-2018/3 10.5 59 89.3 73.3 98.4 98.5 98.5
2018/4-2018/6 14.8 51.7 89.5 91.4 98.2 98.8 99.2
2018/7-2018/9 17 89.3 99.1 81.5 98.6 97 99.8
2018/10-
2018/12 12.3 95.7 97.9 35.1 97.5 97.1 99.7
The results about
the directional
spillovers
contribution from
others.

11. Background Purpose Empirical Studies Conclusion
1. the source of the price-related information
comes from a specific single transaction
medium.
2. the value of the trading medium is in a highly
unstable phase.
3. trading tools derived from financial technology
are still at a highly unstable stage in value.
Whether the trading medium is suitable as a
trading tool remain uncertain.

12. Q&A
Tsung-Han Ke,
Hung-Chun Huang,
Hsin-Yu Shih
National Chi Nan University, TAIWAN
Paper ID: 19R0048
Speaker: Hung-Chun Huang
View publication stats
View publication stats