Abstract
Following the popularity of Bitcoin trading in recent years, Bitcoin futures were introduced in December 2017 as an effort to provide institutional and retail investors with additional trading tools for Bitcoin. This study analyses the Bitcoin futures mid-quote data from CBOE, and Bitcoin market index applying VAR and VECM process methodologies, Hasbrouck’s information share and the Gonzalo-Granger component share measurement to examine price discovery in Bitcoin markets. Furthermore, the chapter seeks to assess the Bitcoin market microstructure. The results drawn on the intra-day prices show that the futures are leading the price discovery at different frequencies even with comparably low futures trading volumes. This supports the extant literature of futures-spot market price discovery and the role of informed traders in the futures market.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
