The study of connectedness is key to assess spillover effects and identify lead-lag relationships among market exchanges trading the same asset. By means of an extension of Diebold and Yilmaz (2012) econometric connectedness measures, we examined the relationships of five major Bitcoin exchange...

In this work, we examine Thomas Reuters News Analytics (TRNA) data. We found several fascinating discoveries. First, we document the phenomenon that we label "Jam-the-Close": The last half hour of trading (15:30 to 16:00 EST) contains a substantial and statistically significant amount of news...