Price Discovery on Bitcoin Exchanges
35 Pages Posted: 20 Nov 2015
Date Written: November 16, 2015
Bitcoin is an open source peer-to-peer electronic money and payment system. It is traded at several exchanges and high-frequency trade data are publicly available. We study the contributions of Bitcoin exchanges to price discovery. Our results show that Mt.Gox and BTC-e are the market leaders with the highest information share. Our analysis further suggest that information share is dynamic and evolves significantly over time.
Keywords: Bitcoin, price discovery, information share
JEL Classification: G14, G15
Suggested Citation: Suggested Citation