Time‐varying price discovery in regular and microbitcoin futures-Reference-Cited by-同舟云学术

Time‐varying price discovery in regular and microbitcoin futures

Published:2023-10-10 Issue:1 Volume:44 Page:103-121
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:Journal of Futures Markets

Author:

Chen Yu‐Lun¹^ORCID,Yang J. Jimmy²^ORCID

Affiliation:

1. Department of Finance, College of Business Chung Yuan Christian University Taoyuan City Taiwan

2. School of Accounting, Finance, and Information Systems, College of Business Oregon State University Corvallis Oregon USA

Abstract

AbstractWe investigate the dynamic price discovery in the regular bitcoin (BTC) and microbitcoin (MBT) futures at the Chicago Mercantile Exchange. The only difference between the two bitcoin futures is the contract size, with MBT representing 1/50th of BTC. In contrast to recent findings in the literature, we find that BTC dominates MBT futures in price discovery, which can be attributed to the relative liquidity and investor structure in the BTC and MBT futures. In addition, crypto hacking activities can affect price discovery in bitcoin futures as we find higher hack stolen funds reduce (enhance) the price discovery in BTC (MBT) futures. These findings provide practical implications for bitcoin investors and regulators.

Funder

Ministry of Science and Technology, Taiwan

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/fut.22466

Reference38 articles.

1. Information transmission in electronic versus open-outcry trading systems: An analysis of U.S. equity index futures markets

2. Price discovery and common factor models

3. Price discovery in bitcoin spot or futures?

4. Price discovery in the German equity index derivatives markets

5. Price discovery on Bitcoin exchanges