Order or Chaos: The Case of Cryptocurrency Platform

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.