Price discovery between Bitcoin spot markets and exchange traded products

Roland Gemayel; Tatiana Franus; James Bowden

doi:10.1016/j.econlet.2023.111152

Price discovery between Bitcoin spot markets and exchange traded products

Roland Gemayel, Tatiana Franus, James Bowden

Accounting And Finance

Research output: Contribution to journal › Article › peer-review

4 Citations (Scopus)

27 Downloads (Pure)

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.

Original language	English
Article number	111152
Number of pages	6
Journal	Economics Letters
Volume	228
Early online date	5 May 2023
DOIs	https://doi.org/10.1016/j.econlet.2023.111152
Publication status	Published - 31 Jul 2023

Keywords

cryptocurrency
bitcoin
price discovery
market efficiency
exchange-traded products

Access to Document

10.1016/j.econlet.2023.111152

Gemayel-etal-EL-EL-2023-Price-discovery-between-Bitcoin-spot-markets-and-exchange-traded-productsAccepted author manuscript, 312 KBLicence: CC BY-NC-ND 4.0

Cite this

@article{8b88d889e20540d9952aa497ffb1de75,

title = "Price discovery between Bitcoin spot markets and exchange traded products",

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.",

keywords = "cryptocurrency, bitcoin, price discovery, market efficiency, exchange-traded products",

author = "Roland Gemayel and Tatiana Franus and James Bowden",

year = "2023",

month = jul,

day = "31",

doi = "10.1016/j.econlet.2023.111152",

language = "English",

volume = "228",

journal = "Economics Letters",

issn = "0165-1765",

publisher = "Elsevier B.V.",

}

TY - JOUR

T1 - Price discovery between Bitcoin spot markets and exchange traded products

AU - Gemayel, Roland

AU - Franus, Tatiana

AU - Bowden, James

PY - 2023/7/31

Y1 - 2023/7/31

N2 - 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.

AB - 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.

KW - cryptocurrency

KW - bitcoin

KW - price discovery

KW - market efficiency

KW - exchange-traded products

U2 - 10.1016/j.econlet.2023.111152

DO - 10.1016/j.econlet.2023.111152

M3 - Article

SN - 0165-1765

VL - 228

JO - Economics Letters

JF - Economics Letters

M1 - 111152

ER -

Price discovery between Bitcoin spot markets and exchange traded products

Abstract

Keywords

Access to Document

Fingerprint

Cite this