Price discovery between Bitcoin spot markets and exchange traded products
Gemayel, Roland and Franus, Tatiana and Bowden, James (2023) Price discovery between Bitcoin spot markets and exchange traded products. Economics Letters, 228. 111152. ISSN 0165-1765 (https://doi.org/10.1016/j.econlet.2023.111152)
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Abstract
We examine price discovery dynamics between Bitcoin exchange-traded products (ETPs) and spot markets on centralised cryptocurrency exchanges. We apply four popular price discovery measures to ETP and spot transaction data between August 2021 and July 2022. Our results show that price discovery is dominated by the spot market across all measures and sampling frequencies. This implies that ETP markets play a smaller role in the incorporation of new information about Bitcoin prices, and that informed investors largely prefer to trade on spot markets that offer significantly deeper liquidity and operate round the clock.
ORCID iDs
Gemayel, Roland, Franus, Tatiana and Bowden, James ORCID: https://orcid.org/0000-0002-0419-1882;-
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Item type: Article ID code: 85432 Dates: DateEvent31 July 2023Published5 May 2023Published Online29 April 2023AcceptedSubjects: Social Sciences > Economic History and Conditions
Social Sciences > FinanceDepartment: Strathclyde Business School > Accounting and Finance Depositing user: Pure Administrator Date deposited: 10 May 2023 10:30 Last modified: 15 Oct 2024 00:52 URI: https://strathprints.strath.ac.uk/id/eprint/85432