Centralized and decentralized bitcoin markets: Euro vs USD vs GBP

In this study, I compared the euro, U.S. dollar, and British pound sterling (GBP) centralized and decentralized bitcoin cryptocurrency markets in terms of return volatility and interdependency. This comparison showed the decentralized bitcoin market has higher volatility and the centralized markets have higher tail dependence regarding returns. The volatility analysis results are contrary to the established leverage reasons that market drops cause volatility. The results demonstrate a higher left tail dependence is in line with the general pattern in "traditional" financial markets which more extreme dependent in downturns. It was also shown trade volume increases as prices decrease, demonstrating participant's lack of confidence and consensus in a price-jump period. (C) 2018 Board of Trustees of the University of Illinois. Published by Elsevier Inc. All rights reserved.