Abstract
This paper explores the interactions between the Bitcoin (BTC) prices in the US and Chinese markets, by employing the bootstrap rolling window causality test. The results reveal that BTC prices behave differently across markets, and also vary with time, which subjects to the theory of price discovery. In other words, the BTC price in one market could precede the other, and vice versa, based on the information advantage. Markets that are more flexible (US) respond sensitively to information, thus, in order to induce the price changes in Chinese markets. The improvements in the economic conditions of the emerging markets have exerted an influential role in global markets. Since the Chinese market possesses a considerable amount of trading volumes, the BTC price in the US can be assumed to chase the BTC price in China. The lead–lag relationship between these two markets also reflects the acknowledgement of the aversion towards the risks involved in accepting BTC as a currency. However, knowing which market reacts the most quickly to new information could prove to be beneficial to regulators who aim to implement a particular BTC price, and, as a result, prevent any arbitrary prices, and eventually stabilize the financial market.
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