Price discovery between Bitcoin spot markets and exchange traded products

Roland Gemayel, Tatiana Franus, James Bowden

Research output: Contribution to journalArticlepeer-review

2 Citations (Scopus)
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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.
Original languageEnglish
Article number111152
Number of pages6
JournalEconomics Letters
Early online date5 May 2023
Publication statusPublished - 31 Jul 2023


  • cryptocurrency
  • bitcoin
  • price discovery
  • market efficiency
  • exchange-traded products


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