Pricing Efficiency and Arbitrage in the Bitcoin Spot and Futures Markets

【Author】 Lee, Seungho; El Meslmani, Nabil; Switzer, Lorne N.

【Source】RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE

【影响因子】6.143

【Abstract】This study examines the pricing efficiency for the leading cryptocurrency, Bitcoin using spot prices and all CBOE and CME futures contracts traded from January 2018 to March 2019. We find that the futures basis provide some predictive power for future changes in the spot price and in the risk premium. However, the basis of Bitcoin is a biased predictor of the future spot price changes. Cointegration tests also demonstrate that futures prices are biased predictors of spot prices. Deviations from no-arbitrage between spot and futures markets are persistent and widen significantly with Bitcoin thefts (hacks, frauds) as well as alternative cryptocurrency issuances.

【Keywords】Bitcoin; cryptocurrency; speculation; efficient markets; futures arbitrage

【发表时间】2020 OCT

【收录时间】2022-01-02

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