Price discovery in bitcoin spot or futures?

被引：86

作者：

Baur, Dirk G. ^{[1
]}

Dimpfl, Thomas ^{[2
]}

机构：

[1] Univ Western Australia, Accounting & Finance Dept, Business Sch, Perth, WA, Australia

[2] Univ Tubingen, Fac Econ & Social Sci, Dept Stat & Econometr, Mohlstr 36, D-72074 Tubingen, Germany

来源：

JOURNAL OF FUTURES MARKETS | 2019年 / 39卷 / 07期

关键词：

bitcoin; cointegration; futures; information shares; price discovery; MARKETS;

D O I：

10.1002/fut.22004

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页码：803 / 817

页数：15

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