Price Discovery on Bitcoin Exchanges

35 Pages Posted: 20 Nov 2015

See all articles by Morten Brandvold

Morten Brandvold

Norwegian University of Science and Technology (NTNU)

Peter Molnár

University of Stavanger

Kristian Vagstad

Norwegian University of Science and Technology (NTNU)

Christian Valstad

Norwegian University of Science and Technology (NTNU)

Date Written: November 16, 2015

Abstract

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

Brandvold, Morten and Molnár, Peter and Vagstad, Kristian and Valstad, Christian, Price Discovery on Bitcoin Exchanges (November 16, 2015). Journal of International Financial Markets, Institutions and Money, Forthcoming. Available at SSRN: https://ssrn.com/abstract=2691456

Morten Brandvold

Norwegian University of Science and Technology (NTNU) ( email )

Trondheim NO-7491
Norway

Peter Molnár (Contact Author)

University of Stavanger ( email )

UiS Business School
Stavanger, 4036
Norway

Kristian Vagstad

Norwegian University of Science and Technology (NTNU) ( email )

Trondheim NO-7491
Norway

Christian Valstad

Norwegian University of Science and Technology (NTNU) ( email )

Trondheim NO-7491
Norway

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