Price discovery in bitcoin spot or futures?

Dirk G. Baur, Thomas Dimpfl

Research output: Contribution to journalArticle

5 Citations (Scopus)

Abstract

In December 2017, both the Chicago Board Options Exchange and the Chicago Mercantile Exchange introduced futures contracts on bitcoin. We investigate to what extent they provide useful information for the price discovery of bitcoin. We rely on the information share methodology of Hasbrouck (1995, J Finance, 50, pp. 1175–1199) and Gonzalo and Granger (1995, J Bus Econ Stat, 13, pp. 27–35) and find that the spot price leads the futures price. We attribute this result to the higher trading volume and the longer trading hours of the globally distributed bitcoin spot market, compared to the relatively restricted access to the US-based futures markets.

Original languageEnglish
Pages (from-to)803-817
Number of pages15
JournalJournal of Futures Markets
Volume39
Issue number7
Early online date18 Feb 2019
DOIs
Publication statusPublished - Jul 2019

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Spot price
Spot market
Trading volume
Price discovery
Futures markets
Exchange option
Futures contracts
Bus
Information share
Methodology
Finance
Futures prices

Cite this

Baur, Dirk G. ; Dimpfl, Thomas. / Price discovery in bitcoin spot or futures?. In: Journal of Futures Markets. 2019 ; Vol. 39, No. 7. pp. 803-817.
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Price discovery in bitcoin spot or futures? / Baur, Dirk G.; Dimpfl, Thomas.

In: Journal of Futures Markets, Vol. 39, No. 7, 07.2019, p. 803-817.

Research output: Contribution to journalArticle

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