Price discovery between Bitcoin spot markets and exchange traded products
Gemayel, R., Franus, T. & Bowden, J. (2023). Price discovery between Bitcoin spot markets and exchange traded products. Economics Letters, 228, article number 111152. doi: 10.1016/j.econlet.2023.111152
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.
| Publication Type: | Article |
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| Additional Information: | © 2023. This manuscript version is made available under the CC-BY-NC-ND 4.0 license https://creativecommons.org/licenses/by-nc-nd/4.0/ |
| Publisher Keywords: | Cryptocurrency, Bitcoin, Price discovery, Market efficiency, Exchange-traded products |
| Subjects: | H Social Sciences > HB Economic Theory H Social Sciences > HG Finance |
| Departments: | Bayes Business School > Finance |
| SWORD Depositor: |
Available under License Creative Commons Attribution Non-commercial No Derivatives.
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