Bitcoin in China: Price Discovery and Volatility Transmission
13 Pages Posted: 17 Mar 2017
Date Written: March 16, 2017
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
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