Bitcoin spot and futures market microstructure
Author
Abstract
Suggested Citation
DOI: 10.1002/fut.22163
Download full text from publisher
References listed on IDEAS
- Schilling, Linda & Uhlig, Harald, 2019.
"Some simple bitcoin economics,"
Journal of Monetary Economics, Elsevier, vol. 106(C), pages 16-26.
- Linda Schilling & Harald Uhlig, 2018. "Some Simple Bitcoin Economics," NBER Working Papers 24483, National Bureau of Economic Research, Inc.
- Uhlig, Harald & Schilling, Linda, 2018. "Some simple Bitcoin Economics," CEPR Discussion Papers 12831, C.E.P.R. Discussion Papers.
- Paolo Pagnottoni & Thomas Dimpfl, 2019.
"Price discovery on Bitcoin markets,"
Digital Finance, Springer, vol. 1(1), pages 139-161, November.
- Pagnottoni, Paolo & Baur, Dirk G. & Dimpfl, Thomas, 2018. "Price Discovery on Bitcoin Markets," IRTG 1792 Discussion Papers 2018-014, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
- Hasbrouck, Joel, 1991. "Measuring the Information Content of Stock Trades," Journal of Finance, American Finance Association, vol. 46(1), pages 179-207, March.
- Julien Chevallier & Stéphane Goutte & Khaled Guesmi & Samir Saadi, 2019. "Study of the dynamic of Bitcoin's price," Working Papers halshs-02175669, HAL.
- Cheah, Eng-Tuck & Mishra, Tapas & Parhi, Mamata & Zhang, Zhuang, 2018. "Long Memory Interdependency and Inefficiency in Bitcoin Markets," Economics Letters, Elsevier, vol. 167(C), pages 18-25.
- Corbet, Shaen & Lucey, Brian & Yarovaya, Larisa, 2018. "Datestamping the Bitcoin and Ethereum bubbles," Finance Research Letters, Elsevier, vol. 26(C), pages 81-88.
- Caporale, Guglielmo Maria & Plastun, Alex, 2019.
"The day of the week effect in the cryptocurrency market,"
Finance Research Letters, Elsevier, vol. 31(C).
- Guglielmo Maria Caporale & Alex Plastun, 2017. "The Day of the Week Effect in the Crypto Currency Market," Discussion Papers of DIW Berlin 1694, DIW Berlin, German Institute for Economic Research.
- Guglielmo Maria Caporale & Alex Plastun, 2017. "The Day of the Week Effect in the Crypto Currency Market," CESifo Working Paper Series 6716, CESifo.
- Chiu, Jonathan & Koeppl, Thorsten V, 2017. "The economics of cryptocurrencies – bitcoin and beyond," Working Paper Series 6688, Victoria University of Wellington, School of Economics and Finance.
- Leopoldo Catania & Mads Sandholdt, 2019. "Bitcoin at High Frequency," JRFM, MDPI, vol. 12(1), pages 1-20, February.
- Jonathan Chiu & Thorsten V. Koeppl, 2017.
"The Economics Of Cryptocurrencies - Bitcoin And Beyond,"
Working Paper
1389, Economics Department, Queen's University.
- Jonathan Chiu & Thorsten Koeppl, 2019. "The Economics of Cryptocurrencies—Bitcoin and Beyond," Staff Working Papers 19-40, Bank of Canada.
- Jonathan Chiu, 2019. "The Economics of Cryptocurrencies -- Bitcoin and Beyond," 2019 Meeting Papers 425, Society for Economic Dynamics.
- Eric Budish, 2018. "The Economic Limits of Bitcoin and the Blockchain," NBER Working Papers 24717, National Bureau of Economic Research, Inc.
- Makarov, Igor & Schoar, Antoinette, 2020. "Trading and arbitrage in cryptocurrency markets," LSE Research Online Documents on Economics 100409, London School of Economics and Political Science, LSE Library.
- Bruno Biais & Christophe Bisière & Matthieu Bouvard & Catherine Casamatta, 2019.
"The Blockchain Folk Theorem,"
The Review of Financial Studies, Society for Financial Studies, vol. 32(5), pages 1662-1715.
- Biais, Bruno & Bisière, Christophe & Bouvard, Matthieu & Casamatta, Catherine, 2017. "The blockchain folk theorem," TSE Working Papers 17-817, Toulouse School of Economics (TSE), revised Jan 2018.
- Bruno Biais & Christophe Bisière & Matthieu, Bouvard & Catherine Casamatta, 2019. "The blockchain folk theorem," Post-Print hal-02281914, HAL.
- Bruno Biais & Christophe Bisiere & Matthieu Bouvard & Catherine Casamatta, 2017. "The Blockchain Folk Theorem," Swiss Finance Institute Research Paper Series 17-75, Swiss Finance Institute.
- Biais, Bruno & Bisière, Christophe & Bouvard, Matthieu & Casamatta, Catherine, 2017. "The blockchain folk theorem," IDEI Working Papers 873, Institut d'Économie Industrielle (IDEI), Toulouse, revised Nov 2017.
- Caporale, Guglielmo Maria & Zekokh, Timur, 2019.
"Modelling volatility of cryptocurrencies using Markov-Switching GARCH models,"
Research in International Business and Finance, Elsevier, vol. 48(C), pages 143-155.
- Guglielmo Maria Caporale & Timur Zekokh, 2018. "Modelling Volatility of Cryptocurrencies Using Markov-Switching Garch Models," CESifo Working Paper Series 7167, CESifo.
- Klein, Tony & Pham Thu, Hien & Walther, Thomas, 2018.
"Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance,"
International Review of Financial Analysis, Elsevier, vol. 59(C), pages 105-116.
- Klein, Tony & Thu, Hien Pham & Walther, Thomas, 2018. "Bitcoin is not the New Gold - A Comparison of Volatility, Correlation, and Portfolio Performance," IRTG 1792 Discussion Papers 2018-015, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
- Thomas Walther & Tony Klein & Hien Pham Thu, 2018. "Bitcoin is not the New Gold - A Comparison of Volatility, Correlation, and Portfolio Performance," Working Papers on Finance 1812, University of St. Gallen, School of Finance.
- Klein, Tony & Hien, Pham Thu & Walther, Thomas, 2018. "Bitcoin Is Not the New Gold: A Comparison of Volatility, Correlation, and Portfolio Performance," QBS Working Paper Series 2018/01, Queen's University Belfast, Queen's Business School.
- Yukun Liu & Aleh Tsyvinski & Xi Wu, 2019. "Common Risk Factors in Cryptocurrency," NBER Working Papers 25882, National Bureau of Economic Research, Inc.
- Gao, Cheng & Mizrach, Bruce, 2016.
"Market quality breakdowns in equities,"
Journal of Financial Markets, Elsevier, vol. 28(C), pages 1-23.
- Cheng Gao & Bruce Mizrach, 2013. "Market Quality Breakdowns in Equities," Departmental Working Papers 201318, Rutgers University, Department of Economics.
- Guesmi, Khaled & Saadi, Samir & Abid, Ilyes & Ftiti, Zied, 2019. "Portfolio diversification with virtual currency: Evidence from bitcoin," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 431-437.
- Tobias Braun & Jonas A Fiegen & Daniel C Wagner & Sebastian M Krause & Thomas Guhr, 2018. "Impact and recovery process of mini flash crashes: An empirical study," PLOS ONE, Public Library of Science, vol. 13(5), pages 1-11, May.
- Galina Hale & Arvind Krishnamurthy & Marianna Kudlyak & Patrick Shultz, 2018. "How Futures Trading Changed Bitcoin Prices," FRBSF Economic Letter, Federal Reserve Bank of San Francisco.
- Yukun Liu & Aleh Tsyvinski, 2018.
"Risks and Returns of Cryptocurrency,"
NBER Working Papers
24877, National Bureau of Economic Research, Inc.
- Yukun Liu & Aleh Tsyvinski, 2019. "Risks and Returns of Cryptocurrency," 2019 Meeting Papers 160, Society for Economic Dynamics.
- Dirk G. Baur & Thomas Dimpfl, 2019. "Price discovery in bitcoin spot or futures?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(7), pages 803-817, July.
- Makarov, Igor & Schoar, Antoinette, 2020. "Trading and arbitrage in cryptocurrency markets," Journal of Financial Economics, Elsevier, vol. 135(2), pages 293-319.
- Ardia, David & Bluteau, Keven & Rüede, Maxime, 2019. "Regime changes in Bitcoin GARCH volatility dynamics," Finance Research Letters, Elsevier, vol. 29(C), pages 266-271.
- Balcilar, Mehmet & Bouri, Elie & Gupta, Rangan & Roubaud, David, 2017.
"Can volume predict Bitcoin returns and volatility? A quantiles-based approach,"
Economic Modelling, Elsevier, vol. 64(C), pages 74-81.
- Mehmet Balcilar & Elie Bouri & Rangan Gupta & David Roubaud, 2017. "Can volume predict Bitcoin returns and volatility? A quantiles-based approach," Post-Print hal-02008551, HAL.
- Eric Ghysels & Giang Nguyen, 2019. "Price Discovery of a Speculative Asset: Evidence from a Bitcoin Exchange," JRFM, MDPI, vol. 12(4), pages 1-26, October.
- Easley, David & O'Hara, Maureen & Basu, Soumya, 2019. "From mining to markets: The evolution of bitcoin transaction fees," Journal of Financial Economics, Elsevier, vol. 134(1), pages 91-109.
- Mensi, Walid & Al-Yahyaee, Khamis Hamed & Kang, Sang Hoon, 2019. "Structural breaks and double long memory of cryptocurrency prices: A comparative analysis from Bitcoin and Ethereum," Finance Research Letters, Elsevier, vol. 29(C), pages 222-230.
- Dyhrberg, Anne Haubo, 2016. "Bitcoin, gold and the dollar – A GARCH volatility analysis," Finance Research Letters, Elsevier, vol. 16(C), pages 85-92.
- Rainer Böhme & Nicolas Christin & Benjamin Edelman & Tyler Moore, 2015. "Bitcoin: Economics, Technology, and Governance," Journal of Economic Perspectives, American Economic Association, vol. 29(2), pages 213-238, Spring.
- Yang Hu & Yang (Greg) Hou & Les Oxley, 2019. "Spot and Futures Prices of Bitcoin: Causality, Cointegration and Price Discovery from a Time-Varying Perspective," Working Papers in Economics 19/13, University of Waikato.
- Dwyer, Gerald P., 2015. "The economics of Bitcoin and similar private digital currencies," Journal of Financial Stability, Elsevier, vol. 17(C), pages 81-91.
- repec:grz:wpsses:2018-06 is not listed on IDEAS
- Baillie, Richard T. & Geoffrey Booth, G. & Tse, Yiuman & Zabotina, Tatyana, 2002. "Price discovery and common factor models," Journal of Financial Markets, Elsevier, vol. 5(3), pages 309-321, July.
- Koutmos, Dimitrios, 2018. "Liquidity uncertainty and Bitcoin’s market microstructure," Economics Letters, Elsevier, vol. 172(C), pages 97-101.
- Corbet, Shaen & Lucey, Brian & Peat, Maurice & Vigne, Samuel, 2018. "Bitcoin Futures—What use are they?," Economics Letters, Elsevier, vol. 172(C), pages 23-27.
- Dyhrberg, Anne H. & Foley, Sean & Svec, Jiri, 2018. "How investible is Bitcoin? Analyzing the liquidity and transaction costs of Bitcoin markets," Economics Letters, Elsevier, vol. 171(C), pages 140-143.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Apostolakis, George N., 2024. "Bitcoin price volatility transmission between spot and futures markets," International Review of Financial Analysis, Elsevier, vol. 94(C).
- Pati, Pratap Chandra, 2022. "Informativeness of CME Micro Bitcoin Futures in Pricing of Bitcoin: Intraday Evidence," Finance Research Letters, Elsevier, vol. 49(C).
- Augustin, Patrick & Rubtsov, Alexey & Shin, Donghwa, 2022. "The impact of derivatives on spot markets: Evidence from the introduction of bitcoin futures contracts," LawFin Working Paper Series 41, Goethe University, Center for Advanced Studies on the Foundations of Law and Finance (LawFin).
- Shimeng Shi, 2022. "Bitcoin futures risk premia," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(12), pages 2190-2217, December.
- V.K., Anand Krishnan & Chalissery, Meera Davi & Thomas, Sony, 2024. "A bibliometric review of Market Microstructure literature: Current status, development, and future directions," Finance Research Letters, Elsevier, vol. 69(PA).
- Shimeng Shi & Jia Zhai & Yingying Wu, 2024. "Informational inefficiency on bitcoin futures," The European Journal of Finance, Taylor & Francis Journals, vol. 30(6), pages 642-667, April.
- Marcin Wk{a}torek & Marcin Kr'olczyk & Jaros{l}aw Kwapie'n & Tomasz Stanisz & Stanis{l}aw Dro.zd.z, 2024. "Approaching multifractal complexity in decentralized cryptocurrency trading," Papers 2411.05951, arXiv.org.
- Almeida, José & Gonçalves, Tiago Cruz, 2023. "A systematic literature review of investor behavior in the cryptocurrency markets," Journal of Behavioral and Experimental Finance, Elsevier, vol. 37(C).
- Riccardo De Blasis & Alexander Webb, 2022. "Arbitrage, contract design, and market structure in Bitcoin futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(3), pages 492-524, March.
- Bruce Mizrach, 2022. "Stablecoins: Survivorship, Transactions Costs and Exchange Microstructure," Papers 2201.01392, arXiv.org, revised Feb 2023.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Aurelio F. Bariviera & Ignasi Merediz‐Solà, 2021.
"Where Do We Stand In Cryptocurrencies Economic Research? A Survey Based On Hybrid Analysis,"
Journal of Economic Surveys, Wiley Blackwell, vol. 35(2), pages 377-407, April.
- Aurelio F. Bariviera & Ignasi Merediz-Sol`a, 2020. "Where do we stand in cryptocurrencies economic research? A survey based on hybrid analysis," Papers 2003.09723, arXiv.org.
- Parthajit Kayal & Purnima Rohilla, 2021. "Bitcoin in the economics and finance literature: a survey," SN Business & Economics, Springer, vol. 1(7), pages 1-21, July.
- Corbet, Shaen & Lucey, Brian & Urquhart, Andrew & Yarovaya, Larisa, 2019. "Cryptocurrencies as a financial asset: A systematic analysis," International Review of Financial Analysis, Elsevier, vol. 62(C), pages 182-199.
- Cynthia Weiyi Cai & Rui Xue & Bi Zhou, 2023. "Cryptocurrency puzzles: a comprehensive review and re-introduction," Journal of Accounting Literature, Emerald Group Publishing Limited, vol. 46(1), pages 26-50, June.
- Flori, Andrea, 2019. "News and subjective beliefs: A Bayesian approach to Bitcoin investments," Research in International Business and Finance, Elsevier, vol. 50(C), pages 336-356.
- Ye Li & Simon Mayer & Simon Mayer, 2021. "Money Creation in Decentralized Finance: A Dynamic Model of Stablecoin and Crypto Shadow Banking," CESifo Working Paper Series 9260, CESifo.
- Hanna Halaburda & Guillaume Haeringer & Joshua Gans & Neil Gandal, 2022.
"The Microeconomics of Cryptocurrencies,"
Journal of Economic Literature, American Economic Association, vol. 60(3), pages 971-1013, September.
- Hanna Halaburda & Guillaume Haeringer & Joshua S. Gans & Neil Gandal, 2020. "The Microeconomics of Cryptocurrencies," NBER Working Papers 27477, National Bureau of Economic Research, Inc.
- Hanna Halaburda & Guillaume Haeringer & Joshua Gans & Neil Gandal, 2021. "The Microeconomics of Cryptocurrencies," CESifo Working Paper Series 8841, CESifo.
- Gandal, Neil & Halaburda, Hanna & Haeringer, Guillaume & Gans, Joshua, 2020. "The Microeconomics of Cryptocurrencies," CEPR Discussion Papers 14972, C.E.P.R. Discussion Papers.
- Dunbar, Kwamie & Owusu-Amoako, Johnson, 2022. "Cryptocurrency returns under empirical asset pricing," International Review of Financial Analysis, Elsevier, vol. 82(C).
- Caporale, Guglielmo Maria & Kang, Woo-Young & Spagnolo, Fabio & Spagnolo, Nicola, 2021.
"Cyber-attacks, spillovers and contagion in the cryptocurrency markets,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
- Guglielmo Maria Caporale & Woo-Young Kang & Fabio Spagnolo & Nicola Spagnolo, 2020. "Cyber Attacks, Spillovers and Contagion in the Cryptocurrency Markets," CESifo Working Paper Series 8324, CESifo.
- Julien Chevallier & Dominique Guégan & Stéphane Goutte, 2021.
"Is It Possible to Forecast the Price of Bitcoin?,"
Forecasting, MDPI, vol. 3(2), pages 1-44, May.
- Julien Chevallier & Dominique Guégan & Stéphane Goutte, 2021. "Is It Possible to Forecast the Price of Bitcoin?," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-04250269, HAL.
- Julien Chevallier & Dominique Guégan & Stéphane Goutte, 2021. "Is It Possible to Forecast the Price of Bitcoin?," Post-Print halshs-04250269, HAL.
- Donato Masciandaro, 2018. "Central Bank Digital Cash and Cryptocurrencies: Insights from a New Baumol–Friedman Demand for Money," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 51(4), pages 540-550, December.
- Andrea Flori, 2019. "Cryptocurrencies In Finance: Review And Applications," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(05), pages 1-22, August.
- Bedi, Prateek & Nashier, Tripti, 2020. "On the investment credentials of Bitcoin: A cross-currency perspective," Research in International Business and Finance, Elsevier, vol. 51(C).
- Bruno Biais & Christophe Bisière & Matthieu Bouvard & Catherine Casamatta & Albert J. Menkveld, 2023.
"Equilibrium Bitcoin Pricing,"
Journal of Finance, American Finance Association, vol. 78(2), pages 967-1014, April.
- Biais, Bruno & Bisière, Christophe & Bouvard, Matthieu & Casamatta, Catherine & Menkveld, Albert J., 2018. "Equilibrium Bitcoin Pricing," TSE Working Papers 18-973, Toulouse School of Economics (TSE), revised Feb 2022.
- Bruno Biais & Christophe Bisière & Matthieu Bouvard & Catherine Casamatta & Albert J. Menkveld, 2020. "Equilibrium Bitcoin Pricing," EconPol Working Paper 48, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
- Bruno Biais & Albert Menkveld & Catherine Casamatta & Christophe Bisière & Matthieu Bouvard, 2019. "Equilibrium Bitcoin Pricing," 2019 Meeting Papers 360, Society for Economic Dynamics.
- Bruno Biais & Christophe Bisière & Matthieu Bouvard & Catherine Casamatta & Albert J. Menkveld, 2023. "Equilibrium bitcoin pricing," Post-Print hal-04067665, HAL.
- Fan Fang & Carmine Ventre & Michail Basios & Leslie Kanthan & David Martinez-Rego & Fan Wu & Lingbo Li, 2022. "Cryptocurrency trading: a comprehensive survey," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-59, December.
- Muhammad Owais Qarni & Saiqb Gulzar, 2021. "Portfolio diversification benefits of alternative currency investment in Bitcoin and foreign exchange markets," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-37, December.
- Emiliano S Pagnotta, 2022. "Decentralizing Money: Bitcoin Prices and Blockchain Security," The Review of Financial Studies, Society for Financial Studies, vol. 35(2), pages 866-907.
- Riccardo De Blasis & Alexander Webb, 2022. "Arbitrage, contract design, and market structure in Bitcoin futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(3), pages 492-524, March.
- Constandina Koki & Stefanos Leonardos & Georgios Piliouras, 2019. "A Peek into the Unobservable: Hidden States and Bayesian Inference for the Bitcoin and Ether Price Series," Papers 1909.10957, arXiv.org, revised Jul 2021.
- Pattnaik, Debidutta & Hassan, M. Kabir & Dsouza, Arun & Tiwari, Aviral & Devji, Shridev, 2023. "Ex-post facto analysis of cryptocurrency literature over a decade using bibliometric technique," Technological Forecasting and Social Change, Elsevier, vol. 189(C).
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wly:jfutmk:v:41:y:2021:i:2:p:194-225. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.interscience.wiley.com/jpages/0270-7314/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.