Nothing but noise? Price discovery across cryptocurrency exchanges

被引：37

作者：

Dimpfl, Thomas ^{[1
]}

Peter, Franziska J. ^{[2
]}

机构：

[1] Univ Tubingen, Dept Econometr Stat & Empir Econ, Tubingen, Germany

[2] Zeppelin Univ, Dept Empir Finance & Econometr, Seemosser Horn 20, D-88045 Friedrichshafen, Germany

来源：

JOURNAL OF FINANCIAL MARKETS | 2021年 / 54卷

关键词：

Price discovery; Cryptocurrency; Bitcoin; Information share; Microstructure noise; MICROSTRUCTURE NOISE; REALIZED VARIANCE; BITCOIN FUTURES; MARKETS; COMPONENTS; MEMORY; INDEX; GOLD; SPOT;

D O I：

10.1016/j.finmar.2020.100584

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We examine the price discovery contributions of cryptocurrency exchanges in the presence of market microstructure noise. Cryptocurrency markets exhibit a decisively higher level of microstructure noise compared with the NYSE or NASDAQ. Therefore, traditional measures of price discovery could be biased. To overcome this concern, we draw on the information leadership share proposed by Putnins (2013); by leveraging this information, we find that Bitfinex is the leader in the price discovery process. These results highlight the importance of accounting for different levels of noise when evaluating price discovery contributions. (C) 2020 Elsevier B.V. All rights reserved.

引用

页数：16

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