Price discovery between Bitcoin spot markets and exchange traded products

被引：4
|
作者：
Gemayel, Roland [1 ]
Franus, Tatiana [2 ]
Bowden, James [3 ]
机构：
[1] Kings Coll London, Kings Business Sch, 30 Aldwych, London WC2B 4BG, England
[2] City Univ London, Bayes Business Sch, 106 Bunhill Row, London EC1Y 8TZ, England
[3] Univ Strathclyde, Strathclyde Business Sch, 199 Cathedral St, Glasgow G4 0GU, Scotland
来源：
ECONOMICS LETTERS | 2023年 / 228卷
关键词：
Cryptocurrency; Bitcoin; Price discovery; Market efficiency; Exchange -traded products; INDEX FUTURES MARKETS; P; 500; FUTURES; STOCK INDEX; VOLATILITY TRANSMISSION; ADJUSTMENT; SPILLOVERS; COMPONENTS; SECURITY; RETURNS; FUNDS;
D O I：
10.1016/j.econlet.2023.111152
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We examine price discovery dynamics between Bitcoin exchange-traded products (ETPs) and spot markets on centralised cryptocurrency exchanges. We apply four popular price discovery measures to ETP and spot transaction data between August 2021 and July 2022. Our results show that price discovery is dominated by the spot market across all measures and sampling frequencies. This implies that ETP markets play a smaller role in the incorporation of new information about Bitcoin prices, and that informed investors largely prefer to trade on spot markets that offer significantly deeper liquidity and operate round the clock.(c) 2023 Elsevier B.V. All rights reserved.
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页数：6
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