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

See all articles by Takahiro Hattori

Takahiro Hattori

University of Tokyo - Graduate School of Public Policy

Ryo Ishida

Ministry of Finance - Japan - Policy Research Institute

Date Written: February 8, 2019

Abstract

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

Hattori, Takahiro and Ishida, Ryo, The Relationship Between Arbitrage in Futures and Spot Markets and Bitcoin Price Movements: Evidence From the Bitcoin Markets (February 8, 2019). Available at SSRN: https://ssrn.com/abstract=3209625 or http://dx.doi.org/10.2139/ssrn.3209625

Takahiro Hattori

University of Tokyo - Graduate School of Public Policy ( email )

Tokyo
Japan

Ryo Ishida (Contact Author)

Ministry of Finance - Japan - Policy Research Institute ( email )

Kasumigaseki Chiyoda-ku
3-1-1
Tokyo, 100-8940
Japan

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
914
Abstract Views
3,111
rank
32,908
PlumX Metrics