Price discovery on Bitcoin exchanges

【Author】 Brandvold, Morten; Molnar, Peter; Vagstad, Kristian; Valstad, Ole Christian Andreas

【Source】JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY

【影响因子】4.217

【Abstract】Bitcoin is an open source peer-to-peer electronic money and payment system. It is traded at several exchanges and high-frequency trade data are publicly available. We study the contributions of Bitcoin exchanges to price discovery. Our results show that Mt.Gox and BTC-e are the market leaders with the highest information share. Our analysis further suggests that information share is dynamic and evolves significantly over time. (C)) 2015 Elsevier B.V. All rights reserved.

【Keywords】Bitcoin; Price discovery; Information share

【发表时间】2015 MAY

【收录时间】2022-01-02

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