Impact of bitcoin futures on the informational efficiency of bitcoin spot market-Reference-Cited by-同舟云学术

Impact of bitcoin futures on the informational efficiency of bitcoin spot market

Published:2020-10-08 Issue:1 Volume:41 Page:115-134
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:J Futures Markets

Author:

Shynkevich Andrei¹^ORCID

Affiliation:

1. College of Business Administration Kent State University Kent Ohio USA

Publisher

Wiley

Subject

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

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/fut.22164

Reference58 articles.

1. Alexander C. Choi J. Park H. &Sohn S.(2020). BitMEX bitcoin derivatives: Price discovery informational efficiency and hedging effectiveness.Journal of Futures Markets 40 23–43.

2. Using genetic algorithms to find technical trading rules1Helpful comments were made by Adam Dunsby, Lawrence Fisher, Steven Kimbrough, Paul Kleindorfer, Michele Kreisler, James Laing, Josef Lakonishok, George Mailath, and seminar participants at Institutional Investor, J.P. Morgan, the NBER Asset Pricing Program, Ohio State University, Purdue University, the Santa Fe Institute, Rutgers University, Stanford University, University of California, Berkeley, University of Michigan, University of Pennsylvania, University of Utah, Washington University (St. Louis), and the 1995 AFA Meetings in Washington, D.C. We are particularly grateful to Kenneth R. French (the referee), and G. William Schwert (the editor) for their suggestions. Financial support from the National Science Foundation is gratefully acknowledged by the first author and from the Academy of Finland by the second and from the Geewax-Terker Program in Financial Instruments by both. Correspondence should be addressed to Franklin Allen, The Wharton School, University of Pennsylvania, Philadelphia, PA 19104-6367.1

3. Belaire‐Franch J. &Contreras D.(2004).Ranks and signs‐based multiple variance ratio tests. Working Paper Department of Economic Analysis University of Valencia.

4. Bitcoincharts.(2019).Bitcoincharts data and chart repository. Retrieved fromhttps://bitcoincharts.com

5. Price discovery on Bitcoin exchanges

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