Price discovery in fiat currency and cryptocurrency markets

被引：7

作者：

Huang, Guan-Ying ^{[1
]}

Gau, Yin-Feng ^{[2
]}

Wu, Zhen-Xing ^{[3
]}

机构：

[1] Southwestern Univ Finance & Econ, Sch Finance, Liutai Ave, Chengdu 555, Sichuan, Peoples R China

[2] Natl Cent Univ, Dept Finance, 300 Jhongda Rd, Taoyuan, Taiwan

[3] Zhongnan Univ Econ & Law, Sch Finance, 182 South Nanhu Rd, Wuhan 430073, Hubei, Peoples R China

来源：

FINANCE RESEARCH LETTERS | 2022年 / 47卷

关键词：

Triangular arbitrage; Bitcoin; Fiat money; Price discovery; MACROECONOMIC NEWS; LONG-MEMORY; BITCOIN; FUTURES; ANNOUNCEMENTS; DOLLAR; HEDGE; GOLD; SPOT;

D O I：

10.1016/j.frl.2021.102615

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We study the dynamic relations between the direct exchange rate of fiat currencies and the rate implied by bitcoin prices. The empirical results show the deviation between actual and implied rates of EUR/USD, GBP/USD, and JPY/USD affects the movements of actual and BTC-implied rates. We observe that implied rates contribute more to price discovery than actual rates before 2019 for EUR/USD and before 2018 for JPY/USD. Triangular arbitrage opportunities arise when VIX is high. The arbitrage opportunities are also related to the market capitalization of bitcoin and the trading of bitcoin futures on CBOE and CME.

引用

页数：10

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