An analysis of price discovery between Bitcoin futures and spot markets

DOI10.1016/J.ECONLET.2018.10.031zbMath1422.91707OpenAlexW2899406349MaRDI QIDQ2328515

Jose Olmo, Burcu Kapar

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

cointegrationprice discoverypermanent-transitory decompositionBitcoininformation share

Mathematics Subject Classification ID

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

Related Items (5)

Does bitcoin dominate the price discovery of the cryptocurrencies market? A time-varying information share analysis ⋮ Price discovery between bitcoin spot markets and exchange traded products ⋮ The Speculative (In)Efficiency of the CME Bitcoin Futures Market ⋮ Optimal bitcoin trading with inverse futures ⋮ Price discovery in US money market benchmarks: LIBOR vs. SOFR

Cites Work

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

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