The Relationship Between Arbitrage in Futures and Spot Markets and Bitcoin Price Movements: Evidence From the Bitcoin Markets
33 Pages Posted: 27 Jul 2018 Last revised: 9 Mar 2020
Date Written: February 8, 2019
We examine how investors arbitrage the Bitcoin spot and futures markets. Using intraday data of the Chicago Board Options Exchange (CBOE), we reconstruct the actual arbitrage condition that investors confront. We find that there are few arbitrage profit opportunities in “normal” markets, but large arbitrage profit opportunities arise during Bitcoin market “crashes".
Keywords: Cryptocurrency, Bitcoin, Futures, Arbitrage, Intraday Data
JEL Classification: G14, G12
Suggested Citation: Suggested Citation