Price discovery between Bitcoin spot markets and exchange traded products

【Author】 Gemayel, Roland; Franus, Tatiana; Bowden, James

【Source】ECONOMICS LETTERS

【影响因子】1.469

【Abstract】We examine price discovery dynamics between Bitcoin exchange-traded products (ETPs) and spot markets on centralised cryptocurrency exchanges. We apply four popular price discovery measures to ETP and spot transaction data between August 2021 and July 2022. Our results show that price discovery is dominated by the spot market across all measures and sampling frequencies. This implies that ETP markets play a smaller role in the incorporation of new information about Bitcoin prices, and that informed investors largely prefer to trade on spot markets that offer significantly deeper liquidity and operate round the clock.(c) 2023 Elsevier B.V. All rights reserved.

【Keywords】Cryptocurrency; Bitcoin; Price discovery; Market efficiency; Exchange -traded products

【发表时间】2023 JUL

【收录时间】2023-07-06

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