Price Discovery in Bitcoin Spot or Futures?
35 Pages Posted: 13 May 2018 Last revised: 1 Dec 2018
Date Written: November 1, 2018
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: Suggested Citation