Time-varying price discovery in regular and microbitcoin futures

被引：0

作者：

Chen, Yu-Lun ^{[1
,3
]}

Yang, J. Jimmy ^{[2
]}

机构：

[1] Chung Yuan Christian Univ, Coll Business, Dept Finance, Taoyuan City, Taiwan

[2] Oregon State Univ, Coll Business, Sch Accounting Finance & Informat Syst, Corvallis, OR USA

[3] 200 Chung Pei Rd, Taoyuan 32023, Taiwan

来源：

JOURNAL OF FUTURES MARKETS | 2024年 / 44卷 / 01期

关键词：

bitcoin futures; hack; leveraged funds; price discovery; INFORMATION SHARES; BITCOIN FUTURES; DYNAMICS; SPOT; SECURITY; LIMITS;

D O I：

10.1002/fut.22466

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We investigate the dynamic price discovery in the regular bitcoin (BTC) and microbitcoin (MBT) futures at the Chicago Mercantile Exchange. The only difference between the two bitcoin futures is the contract size, with MBT representing 1/50th of BTC. In contrast to recent findings in the literature, we find that BTC dominates MBT futures in price discovery, which can be attributed to the relative liquidity and investor structure in the BTC and MBT futures. In addition, crypto hacking activities can affect price discovery in bitcoin futures as we find higher hack stolen funds reduce (enhance) the price discovery in BTC (MBT) futures. These findings provide practical implications for bitcoin investors and regulators.

引用

页码：103 / 121

页数：19

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