Price Discovery in Bitcoin Spot or Futures?

35 Pages Posted: 13 May 2018 Last revised: 1 Dec 2018

See all articles by Dirk G. Baur

Dirk G. Baur

University of Western Australia - Business School; Financial Research Network (FIRN)

Thomas Dimpfl

University of Tuebingen - Department of Statistics and Econometrics

Date Written: November 1, 2018

Abstract

In December 2017, both the CBOE and the CME introduced futures contracts on bitcoin. We investigate to what extent they provide useful information for the price discovery of bitcoin. We rely on the information share methodology of Hasbrouck (1995) and Gonzalo and Granger (1995) and find that the spot price leads the futures price. We attribute this result to the higher trading volume and the longer trading hours of the globally distributed Bitcoin spot market, compared to the relatively restricted access to the US based futures markets.

Keywords: Bitcoin, Futures, Price Discovery, Co-Integration, Information Shares

JEL Classification: G12, G13, G14

Suggested Citation

Baur, Dirk G. and Dimpfl, Thomas, Price Discovery in Bitcoin Spot or Futures? (November 1, 2018). Available at SSRN: https://ssrn.com/abstract=3171464 or http://dx.doi.org/10.2139/ssrn.3171464

Dirk G. Baur

University of Western Australia - Business School ( email )

School of Business
35 Stirling Highway
Crawley, Western Australia 6009
Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

Thomas Dimpfl (Contact Author)

University of Tuebingen - Department of Statistics and Econometrics ( email )

Germany

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