Price discovery in bitcoin futures

【Author】 Fassas, Athanasios P.; Papadamou, Stephanos; Koulis, Alexandros

【Source】RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE

【影响因子】6.143

【Abstract】This paper studies the contribution of the newly launched future contracts to the bitcoin price discovery process. Using well-established methodologies in the literature of the evaluation of price discovery in financial markets, we find evidence that, although the volume of bitcoins traded in the decentralized spot market overwhelms that of the futures market, the latter plays a more important role in incorporating new information about the value of bitcoin. Our empirical investigation also provides evidence of strong bi-directional dependence in the intraday volatility of the spot and futures markets.

【Keywords】Bitcoin; Futures market; Price discovery; Recursive cointegration analysis; Multivariate GARCH; Information shares

【发表时间】2020 APR

【收录时间】2022-01-02

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