  We analyse high-frequency realised volatility dynamics and spillovers in the
bitcoin market, focusing on two pairs: bitcoin against the US dollar (the main
fiat-crypto pair) and trading bitcoin against tether (the main crypto-crypto
pair). We find that the tether-margined perpetual contract on Binance is
clearly the main source of volatility, continuously transmitting strong flows
to all other instruments and receiving only a little volatility. Moreover, we
find that (i) during US trading hours, traders pay more attention and are more
reactive to prevailing market conditions when updating their expectations and
(ii) the crypto market exhibits a higher interconnectedness when traditional
Western stock markets are open. Our results highlight that regulators should
not only consider spot exchanges offering bitcoin-fiat trading but also the
tether-margined derivatives products available on most unregulated exchanges,
most importantly Binance.
