Bitcoin in China: Price Discovery and Volatility Transmission

13 Pages Posted: 17 Mar 2017

See all articles by ChengYuan Qu

ChengYuan Qu

Sun Yat-sen Business School, Sun Yat-Sen University

Date Written: March 16, 2017

Abstract

As a digit currency with wide popularity in the world, the market performance of Bitcoin in different countries is worthy of attention. This paper analyzes the price discovery and volatility transmission of BitCoin among Chinese market and U.S. market. We show that Bitcoin price in Chinese market has significant influence on U.S. market, while U.S. market has significant impact on Chinese market through volatility.

Keywords: BitCoin; Price Discovery; Volatility Transmission

JEL Classification: G19

Suggested Citation

Qu, ChengYuan, Bitcoin in China: Price Discovery and Volatility Transmission (March 16, 2017). Available at SSRN: https://ssrn.com/abstract=2934031 or http://dx.doi.org/10.2139/ssrn.2934031

ChengYuan Qu (Contact Author)

Sun Yat-sen Business School, Sun Yat-Sen University ( email )

135, Xingang Xi Road
Guangzhou, Guangdong 510275
China

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