Price discovery in bitcoin spot or futures?

By Dirk G. Baur, Thomas Dimpfl. Journal of futures markets, 2019

125 citations recorded by the source corpus.

In December 2017, both the Chicago Board Options Exchange and the Chicago Mercantile Exchange introduced futures contracts on bitcoin. We investigate to what extent they provide useful information for the price discovery of bitcoin. We rely on the information share methodology of Hasbrouck (1995, J Finance, 50, pp. 1175–1199) and Gonzalo and Granger (1995, J Bus Econ Stat, 13, pp. 27–35) and find that the spot price leads the futures price. We attribute this result to the higher trading volume and the longer trading hours of the globally distributed bitcoin spot market, compared to the relatively restricted access to the US‐based futures markets.

Subfields: Economics and Econometrics, Finance, Information Systems

View Paper: https://www.semanticscholar.org/paper/43484dd34e203e9700f611a2bae4f773f482e936

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

  1. Burcu Kapar
  2. Jose Olmo
  3. James W. Taylor
  4. M. Nieto
  5. Esther Ruiz

In Finance

  1. Burcu Kapar
  2. Jose Olmo
  3. James W. Taylor
  4. M. Nieto
  5. Esther Ruiz

In Information Systems

  1. Burcu Kapar
  2. Jose Olmo

Citations in the corpus