"Insights from Bitcoin Trading" by Dr. Jain and Dr. McInish published in Financial Management
MEMPHIS, TN—February 10, 2020. Department of Finance, Insurance and Real Estate interim chair Dr. P.K. Jain and faculty member Dr. McInish of the University of Memphis Fogelman College of Business & Economics, along with doctoral student Jonathan Miller, recently had their article, "Insights from Bitcoin Trading," published in Fintech Special Issue, Financial Management. Financial Management is the flagship journal of the Financial Management Association International, the premier professional and global organization for academicians, practitioners and students.
Bitcoin is a currency created in 2008 by an anonymous individual using the alias Satoshi Nakamoto. Bitcoin transactions are made with no middle entity – meaning, no banks. The currency can be used to pay for virtually anything from booking hotels on Expedia, shopping for furniture on Overstock or buying Xbox games. In 10 years, the market capitalization of Bitcoin has grown from zero to more than $100 billion as of October 2018 and a daily 24?hour volume of more than $3 billion.
The article in Financial Management examines the correlation in returns and volume for Bitcoin-fiat currency pairs (one type of cryptocurrency and another), each trading in a country with a single time zone. Like foreign exchange markets, Bitcoin trading occurs 24 hours a day, 7 days a week, worldwide.
The article authors found evidence that one common factor explains 68% of the variance in hourly Bitcoin volume. Though trading is higher on weekdays, there is substantial weekend trading reflecting high retail participation.
Further, they discovered that volume is higher on exchanges during local working hours, as seen in foreign exchange markets, supporting the viewpoint that trading patterns depend on the location of trade rather than the location of the asset traded.
"We find statistically significant differences in trading volume across weekdays, but not between Saturday and Sunday for three of our currency pairs," the article states. "Trading volume is higher during the week than on weekends. However, unlike currency markets, there is substantial trading on Saturday and Sunday, which we believe is likely due to the trading of individuals."
Dr. Jain's work on financial market design is widely cited and recognized both nationally and locally. The Securities and Exchange Commission (SEC) in Washington, D.C. appointed him as a visiting academic scholar under the Intergovernmental Personnel Act from 2012-2014 in the SEC's Division of Risk, Strategy and Financial Innovation – Office of Markets – to conduct special studies mandated by the U.S. Congress.
Dr. McInish is an author or coauthor of more than 120 scholarly articles in leading journals such as the Journal of Finance, the Journal of Financial Economics, the Journal of Financial and Quantitative Analysis, the Journal of Portfolio Management, the Review of Economics and Statistics and the Sloan Management Review. He has also been cited as one of the "Most Prolific Authors in 72 Finance Journals."
The Fogelman College of Business & Economics is an AACSB accredited institution comprising six departments – School of Accountancy; Business Information and Technology; Economics; Finance, Insurance, and Real Estate; Management; and Marketing and Supply Chain Management.