Bitcoin has received much investor attention in recent years and following this, there has been an explosion of academic studies examining this new financial asset. We contribute to the growing literature of Bitcoin by examining the intraday variables of the leading Bitcoin exchange with the highest information share over 4 years' worth of data to reveal the intraday stylized facts of Bitcoin and how they have developed over time. Employing GMT-timestamped tick data aggregated to the 5-mintuely frequency, we find that Bitcoin returns have increased over time, while trading volume, volatility and liquidity varied substantially over time. We also find that volume increases throughout the day and falls from around 4pm until midnight, which is consistent with the intraday patterns found in currency markets. Realised volatility is fairly consistent throughout the day although it is highest during the opening times of the three major global stock markets. Also liquidity is highest during the opening times of the major global exchanges and the markets tend to be illiquid during the early morning. Finally, we show evidence of the mixture of distribution hypothesis of Clark (1973).

Bitcoin has received much investor attention in recent years and following this, there has been an explosion of academic studies examining this new financial asset. We contribute to the growing literature of Bitcoin by examining the intraday variables of the leading Bitcoin exchange with the highest information share over 4 years' worth of data to reveal the intraday stylized facts of Bitcoin and how they have developed over time. Employing GMT-timestamped tick data aggregated to the 5-mintuely frequency, we find that Bitcoin returns have increased over time, while trading volume, volatility and liquidity varied substantially over time. We also find that volume increases throughout the day and falls from around 4pm until midnight, which is consistent with the intraday patterns found in currency markets. Realised volatility is fairly consistent throughout the day although it is highest during the opening times of the three major global stock markets. Also liquidity is highest during the opening times of the major global exchanges and the markets tend to be illiquid during the early morning. Finally, we show evidence of the mixture of distribution hypothesis of Clark (1973).

This paper studies liquidity risk contagion within the interbank market by assessing the long-run relationship of short-term interest rate spreads from January 2002 to December 2015. In particular, we model the interaction between the LIBOR-OIS spread, euro fixed-float OIS swap rate and the threemonth US-German bond spread and discover strong evidence of structural innovations affecting the interbank market. We find that when the short-term interbank market is affected by a liquidity shock, the LIBOR-OIS spread is a leader in moving back to equilibrium, while the euro-dollar currency swap rate and the US-German bond spreads are followers. Moreover, we find long-run cointegrating relationships and bi-directional causality between the spreads. However, structural breaks identified as prospective financial crises affect the long-run relationships and liquidity shocks drive interbank rates and spread fluctuations. Therefore, liquidity shocks propagating within the interbank market can forecast benchmark interest movements, and ultimately this has significant implications for policy-makers and market players alike.

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This paper investigates liquidity spillovers between the US and European interbank market during turbulent and tranquil periods. We show that an endogenous model with time-varying transition probabilities is effective in describing the propagation of liquidity shocks within the interbank market, while predicting liquidity crashes characterised by changed dynamics. We show that liquidity shocks, originating from movements of the spread between the Asset Backed Commercial Paper and T-bill, drive regime changes in the euro fixed-float OIS swap rate. Our results support the idea of endogenous contagion from the US money market to the eurozone money market during the global financial crisis.