The determinants of price discovery on bitcoin markets

被引：47

作者：

Entrop, Oliver ^{[1
]}

Frijns, Bart ^{[2
]}

Seruset, Marco ^{[1
]}

机构：

[1] Univ Passau, Chair Finance & Banking, Passau, Germany

[2] Auckland Univ Technol, Dept Finance, Private Bag 92006, Auckland 1142, New Zealand

来源：

JOURNAL OF FUTURES MARKETS | 2020年 / 40卷 / 05期

关键词：

bitcoin; futures; price discovery; LEAD-LAG RELATIONSHIP; INVESTOR SENTIMENT; CASH MARKET; FUTURES; EXCHANGE; STOCK; SPOT; COINTEGRATION; SECURITY; DYNAMICS;

D O I：

10.1002/fut.22101

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper investigates whether market quality, uncertainty, investor sentiment and attention, and macroeconomic news affect bitcoin price discovery in spot and futures markets. Over the period December 2017-March 2019, we find significant time variation in the contribution to price discovery of the two markets. Increases in price discovery are mainly driven by relative trading costs and volume, and uncertainty to a lesser extent. Additionally, medium-sized trades contain most information in terms of price discovery. Finally, higher news-based bitcoin sentiment increases the informational role of the futures market, while attention and macroeconomic news have no impact on price discovery.

引用

页码：816 / 837

页数：22

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