Abstract
This study examines the impact of trading activities on price discovery in the Bitcoin futures markets. We find that trades of hedgers are positively correlated with the modified information shares in both CME and CBOE futures markets, suggesting that their trading promotes futures market efficiency. Retailers’ trading activity relates negatively to the price discovery of the CME Bitcoin futures and thus destabilizes the market. Speculators exert positive (negative) impact on the price discovery in the CME (CBOE) Bitcoin futures. Our finding that CME’s Bitcoin futures exhibit superior price discovery than CBOE’s provides plausible justification for CBOE’s decision in March 2019 to suspend further listings of Bitcoin futures contracts. • Hedgers promote the market efficiency of Bitcoin futures. • Retailers deteriorate the market efficiency of Bitcoin futures. • Speculators’ trading has opposite effects on the CME and CBOE Bitcoin futures. • Impacts of speculators/retailers on BTC remain constant after the delisting of XBT. • CME’s Bitcoin futures exhibit superior price discovery than CBOE’s.
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