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Price discovery in bitcoin futures

Author

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  • Fassas, Athanasios P.
  • Papadamou, Stephanos
  • Koulis, Alexandros

Abstract

This paper studies the contribution of the newly launched future contracts to the bitcoin price discovery process. Using well-established methodologies in the literature of the evaluation of price discovery in financial markets, we find evidence that, although the volume of bitcoins traded in the decentralized spot market overwhelms that of the futures market, the latter plays a more important role in incorporating new information about the value of bitcoin. Our empirical investigation also provides evidence of strong bi-directional dependence in the intraday volatility of the spot and futures markets.

Suggested Citation

  • Fassas, Athanasios P. & Papadamou, Stephanos & Koulis, Alexandros, 2020. "Price discovery in bitcoin futures," Research in International Business and Finance, Elsevier, vol. 52(C).
    • Handle: RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531919305628
    DOI: 10.1016/j.ribaf.2019.101116
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    More about this item

    Keywords

    Bitcoin; Futures market; Price discovery; Recursive cointegration analysis; Multivariate GARCH; Information shares;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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