Price discovery in fiat currency and cryptocurrency markets
【Author】 Huang, Guan-Ying; Gau, Yin-Feng; Wu, Zhen-Xing
【Source】FINANCE RESEARCH LETTERS
【影响因子】9.848
【Abstract】We study the dynamic relations between the direct exchange rate of fiat currencies and the rate implied by bitcoin prices. The empirical results show the deviation between actual and implied rates of EUR/USD, GBP/USD, and JPY/USD affects the movements of actual and BTC-implied rates. We observe that implied rates contribute more to price discovery than actual rates before 2019 for EUR/USD and before 2018 for JPY/USD. Triangular arbitrage opportunities arise when VIX is high. The arbitrage opportunities are also related to the market capitalization of bitcoin and the trading of bitcoin futures on CBOE and CME.
【Keywords】Triangular arbitrage; Bitcoin; Fiat money; Price discovery
【发表时间】2022 JUN
【收录时间】2022-07-17
【文献类型】实证性文章
【主题类别】
区块链治理-市场治理-市场分析
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