An analysis of price discovery between Bitcoin futures and spot markets

DOI10.1016/J.ECONLET.2018.10.031MaRDI QIDQ2328515zbMATH OpenOpenAlexFDO

Authors Burcu Kapar, Jose Olmo

Publication date 10 October 2019

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://eprints.soton.ac.uk/426715/1/Bitcoin_FuturesPaper_final_revised.pdf

zbMATH Keywords

Bitcoincointegrationinformation sharepermanent-transitory decompositionprice discovery

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• Modelling and measuring price discovery in commodity markets

Cited in

(12)

• Price discovery, causality and forecasting in the freight futures market
• Bitcoin futures -- what use are they?
• Price discovery in US money market benchmarks: LIBOR vs. SOFR
• Directed acyclic graph based information shares for price discovery
• Optimal bitcoin trading with inverse futures
• Does bitcoin dominate the price discovery of the cryptocurrencies market? A time-varying information share analysis
• The price discovery model based on waveform similarity of sequence with data statistics
• The speculative (In)efficiency of the CME bitcoin futures market
• Price discovery between bitcoin spot markets and exchange traded products
• Enduring relief or fleeting respite? Bitcoin as a hedge and safe haven for the US dollar
• Beyond pure hype: news sentiment and its role in the BTC and ETH futures market
• The connectedness and risk spillovers between bitcoin spot and futures markets: evidence from intraday data

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