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

共 42 条

[11]

2-M

[12] Hidden and Displayed Liquidity in Securities Markets with Informed Liquidity Providers [J].

Boulatov, Alex ;

George, Thomas J. .

REVIEW OF FINANCIAL STUDIES, 2013, 26 (08) :2095-2137

[13] Price discovery on Bitcoin exchanges [J].

Brandvold, Morten ;

Molnar, Peter ;

Vagstad, Kristian ;

Valstad, Ole Christian Andreas .

JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY, 2015, 36 :18-35

[14] Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin [J].

Cheah, Eng-Tuck ;

Fry, John .

ECONOMICS LETTERS, 2015, 130 :32-36

[15] Dark trading and price discovery [J].

Comerton-Forde, Carole ;

Putnins, Talis J. .

JOURNAL OF FINANCIAL ECONOMICS, 2015, 118 (01) :70-92

[16] Bitcoin Futures-What use are they? [J].

Corbet, Shaen ;

Lucey, Brian ;

Peat, Maurice ;

Vigne, Samuel .

ECONOMICS LETTERS, 2018, 172 :23-27

[17]

Diebold FX, 2006, J BUS ECON STAT, V24, P181, DOI 10.1198/073500106000000143

[18] Price discovery in agricultural commodity markets in the presence of futures speculation [J].

Dimpfl, Thomas ;

Flad, Michael ;

Jung, Robert C. .

JOURNAL OF COMMODITY MARKETS, 2017, 5 :50-62

[19] From mining to markets: The evolution of bitcoin transaction fees [J].

Easley, David ;

O'Hara, Maureen ;

Basu, Soumya .

JOURNAL OF FINANCIAL ECONOMICS, 2019, 134 (01) :91-109

[20] ESTIMATING THE COMPONENTS OF THE BID ASK SPREAD [J].

GLOSTEN, LR ;

HARRIS, LE .

JOURNAL OF FINANCIAL ECONOMICS, 1988, 21 (01) :123-142

← 1 2 3 4 5 →