Price discovery in bitcoin futures

Fassas, Athanasios; Papadamou, Stephanos; Koulis, Alexandros

doi:10.1016/j.ribaf.2019.101116

Cited by 57 publications

(31 citation statements)

References 55 publications

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“…Köchling et al [ 26 ] pointed out that the pricing efficiency of Bitcoin spot prices increased after the introduction of Bitcoin futures. And later, Baur et al, Kapar et al and Fassas et al [ 27 – 29 ] provided empirical evidence on the linkages between Bitcoin spot and futures. Dimitrova et al [ 30 ] investigated the efficiency of the Bitcoin market and pointed out the existence of anti-persistent memory in the BTC-USD series.…”

Section: Literature Reviewmentioning

confidence: 99%

Investor attention and cryptocurrency: Evidence from the Bitcoin market

Zhu

Zhang

et al. 2021

PLoS ONE

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This paper adds to the growing literature of cryptocurrency and behavioral finance. Specifically, we investigate the relationships between the novel investor attention and financial characteristics of Bitcoin, i.e., return and realized volatility, which are the two most important characteristics of one certain asset. Our empirical results show supports in the behavior finance area and argue that investor attention is the granger cause to changes in Bitcoin market both in return and realized volatility. Moreover, we make in-depth investigations by exploring the linear and non-linear connections of investor attention on Bitcoin. The results indeed demonstrate that investor attention shows sophisticated impacts on return and realized volatility of Bitcoin. Furthermore, we conduct one basic and several long horizons out-of-sample forecasts to explore the predictive ability of investor attention. The results show that compared with the traditional historical average benchmark model in forecasting technologies, investor attention improves prediction accuracy in Bitcoin return. Finally, we build economic portfolios based on investor attention and argue that investor attention can further generate significant economic values. To sum up, investor attention is a non-negligible pricing factor for Bitcoin asset.

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Section: Literature Reviewmentioning

confidence: 99%

Investor attention and cryptocurrency: Evidence from the Bitcoin market

Zhu

Zhang

et al. 2021

PLoS ONE

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“…Nam et al (2006) found that such factors as liquid alternative currency indexes, a new futures exchange, and reduction of intra-day volatility explain cryptocurrency market efficiency. Fassas et al (2020) analyzed the contribution of the Bitcoin futures market to price discovery in the Bitcoin market. The authors established the existence of a bidirectional relationship between intra-day volatility in Bitcoin futures and spot markets.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Presence of efficiency in a market eliminates speculative trading and thus, prevent the formation of price bubbles. As per the findings of Fassas et al (2020), new information should be reflected simultaneously in futures and spot prices of financial assets. The finding of short horizon volatility spillover among Bitcoin markets and foreign exchange pairs denominated in major trading currencies is in line with the findings of Fassas et al (2020), indicating that new information is quickly incorporated among the asset prices of the analyzed markets.…”

Section: Figmentioning

confidence: 99%

Portfolio diversification benefits of alternative currency investment in Bitcoin and foreign exchange markets

Qarni

Gulzar

2021

Financ Innov

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This study examines the portfolio diversification benefits of alternative currency trading in Bitcoin and foreign exchange markets. The following methods are applied for the analysis: the spillover index method of Diebold and Yilmaz (Int J Forecast 28(1): 57–66, 2012. 10.1016/j.ijforecast.2011.02.006), the spillover asymmetry measures of Barunik et al. (J Int Money Finance 77: 39–56, 2017. 10.1016/j.jimonfin.2017.06.003), and the frequency connectedness method of Barunik and Křehlík (J Financ Econom 16(2): 271–296, 2018. 10.1093/jjfinec/nby001). The findings identify the presence of low-level integration and asymmetric volatility spillover as well as a dominant role of short horizon spillover among Bitcoin markets and foreign exchange pairs for six major trading currencies (US dollar, euro, Japanese yen, British pound sterling, Australian dollar, and Canadian dollar). Bitcoin is found to provide significant portfolio diversification benefits for alternative currency foreign exchange portfolios. Alternative currency Bitcoin trading in euro is found to provide the most significant portfolio diversification benefits for foreign exchange portfolios consisting of major trading currencies. The findings of the study regarding spillover dynamics and portfolio diversification capabilities of the Bitcoin market for foreign exchange markets of major trading currencies have significant implications for portfolio diversification and risk minimization.

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“…By analyzing the volatility of cryptocurrencies, Kyriazis et al [10] pointed out that BTC, ETH, and XRP are the top three in the existing market, and the other cryptocurrencies combined still lagged after this group. Fassas et al [30] focused on why newly launched future contracts contribute to the price discovery process of BTC. eir results demonstrated the strong bidirectional dependence in the intraday volatility of the BTC spot and futures markets.…”

Section: Literature Reviewmentioning

confidence: 99%

Multiscale Systemic Risk and Its Spillover Effects in the Cryptocurrency Market

Zhang

Ding

2021

Complexity

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Since the advent of Bitcoin, the cryptocurrency market has become an important financial market. However, due to the existence of the cryptocurrency bubble, investors face more difficulties in risk portfolios. We adopt wavelet packet decomposition, nonlinear Granger causality test, risk spillover network, and STVAR model; retain the mature research of multiscale systemic risk based on time and frequency; and thus extend systemic risk to different regimes. We found that when frequency is combined with regimes, the risk spillover center will undergo subversive changes in the long run. We also proposed that BTC will be more robust at extreme values (like longest and shortest periods), while cryptocurrencies with smaller market capitalization will be stronger in the medium term. At the same time, the recession period will also spur on it.

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Price discovery in bitcoin futures

Cited by 57 publications

References 55 publications

Investor attention and cryptocurrency: Evidence from the Bitcoin market

Investor attention and cryptocurrency: Evidence from the Bitcoin market

Portfolio diversification benefits of alternative currency investment in Bitcoin and foreign exchange markets

Multiscale Systemic Risk and Its Spillover Effects in the Cryptocurrency Market

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