Temporal Dynamics of Market Microstructure in Cryptocurrency Perpetual Futures: Econometric Evidence from Centralized and Decentralized Exchanges

We apply rolling-window econometric methods, including GARCH(1,1) estimation, Bai–Perron structural break detection, CUSUM stability testing, and Granger causality analysis in bivariate VAR frameworks, to analyze the temporal dynamics of market integration in cryptocurrency perpetual futures, tracking funding rate correlations, arbitrage prevalence, and volatility persistence across 26 exchanges and 812 symbols over two months (November 2025 through January 2026). Using 53 overlapping seven-day rolling windows on 9.1 million hourly observations, we find that the two-tiered market structure previously documented in a static snapshot (centralized exchanges tightly integrated, decentralized exchanges fragmented) persists qualitatively but varies substantially in magnitude, with the integration gap ranging from −0.041 to 0.222. Structural break tests detect no discrete regime shifts; the market evolves through gradual drift. GARCH(1,1) analysis reveals that near-integrated (IGARCH) volatility behavior, previously reported as a general property, appears in only 24.5% of windows, concentrated in specific time periods. Granger causality tests show that mid-tier exchanges lead the largest venue (Binance) more frequently than the reverse, challenging a simple size-based price discovery hierarchy. Intraday spread patterns are statistically significant and linked to funding rate settlement mechanics, with spreads peaking approximately two hours after standard settlement times. These findings have implications for systemic risk assessment: market surveillance frameworks that focus on the largest venue may miss price discovery signals originating from mid-tier exchanges.