Trading activity and price discovery in Bitcoin futures markets

【Author】 Hung, Jui-Cheng; Liu, Hung-Chun; Yang, J. Jimmy

【Source】JOURNAL OF EMPIRICAL FINANCE

【影响因子】3.025

【Abstract】This study examines the impact of trading activities on price discovery in the Bitcoin futures markets. We find that trades of hedgers are positively correlated with the modified information shares in both CME and CBOE futures markets, suggesting that their trading promotes futures market efficiency. Retailers' trading activity relates negatively to the price discovery of the CME Bitcoin futures and thus destabilizes the market. Speculators exert positive (negative) impact on the price discovery in the CME (CBOE) Bitcoin futures. Our finding that CME's Bitcoin futures exhibit superior price discovery than CBOE's provides plausible justification for CBOE's decision in March 2019 to suspend further listings of Bitcoin futures contracts.

【Keywords】Bitcoin futures; Trading activity; Price discovery; COT reports; Modified information share

【发表时间】2021 JUN

【收录时间】2022-01-02

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