The development of Bitcoin futures: Exploring the interactions between cryptocurrency derivatives

Akyıldırım, Erdinç; Corbet, Shaen; Katsiampa, Paraskevi; Kellard, Neil; Şensoy, Ahmet

doi:10.1016/j.frl.2019.07.007

Cited by 87 publications

(57 citation statements)

References 26 publications

(15 reference statements)

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“…Gox Bitcoin exchange; a notable by-product of their research is the finding that suspicious trading on one exchange led to equal price changes on other exchanges, suggesting traders can effectively engage in arbitrage activities across exchanges. Similarly, signs of efficiency are detected in Akyildirim et al (2019) who investigate pricing of Bitcoin futures on traditional exchanges-Chicago Mercantile Exchange (CME) and the Chicago Board Options Exchange (CBOE). Importantly, in their study information flows and price discovery go from futures to spot markets, in contrast to previous results for traditional assets; a likely explanation is the difference in the type of traders at cryptoexchanges (that determine the spot price) and both CME and CBOE.…”

Section: Discussionmentioning

confidence: 96%

Cryptocurrencies: market analysis and perspectives

2019

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The papers in this special issue focus on the emerging phenomenon of cryptocurrencies. Cryptocurrencies are digital financial assets, for which ownership and transfers of ownership are guaranteed by a cryptographic decentralized technology. The rise of cryptocurrencies' value on the market and the growing popularity around the world open a number of challenges and concerns for business and industrial economics. Using the lenses of both neoclassical and behavioral theories, this introductory article discusses the main trends in the academic research related to cryptocurrencies and highlights the contributions of the selected works to the literature. A particular emphasis is on socio-economic, misconduct and sustainability issues. We posit that cryptocurrencies may perform some useful functions and add economic value, but there are reasons to favor the regulation of the market. While this would go against the original libertarian rationale behind cryptocurrencies, it appears a necessary step to improve social welfare.

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Section: Discussionmentioning

confidence: 96%

Cryptocurrencies: market analysis and perspectives

2019

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“… Kapar and Olmo [2019] use the Coindesk Bitcoin USD Price Index as the spot price. Akyildirim, Corbet, Katsiampa, Kellard, and Sensoy [2019] find that Bitcoin futures dominate price discovery relative to spot markets using the information share methodology of Hasbrouck [1995] , Gonzalo and Granger [1995] , Yan and Zivot [2010] and Hauptfleisch, Putniņš, and Lucey [2016] . Baur and Dimpfl [2019] also investigate the price discovery of Bitcoin using the information share methodology of Hasbrouck [1995] and Gonzalo and Granger [1995] at the five-minute frequency for intradaily data.…”

Section: Introductionmentioning

confidence: 93%

“…In their paper, the transaction price of Bitstamp is used as the Bitcoin spot price in the analysis for the two futures markets. Although Corbet et al [2018] , Kapar and Olmo [2019] , Akyildirim et al [2019] and Baur and Dimpfl [2019] use the same price discovery measures of Hasbrouck [1995] and Gonzalo and Granger [1995] , they produce different results. Not only are the future contracts of the CBOE and CME different, but the underlying spot prices used are also different, see Table 1 .…”

Section: Introductionmentioning

confidence: 99%

What role do futures markets play in Bitcoin pricing? Causality, cointegration and price discovery from a time-varying perspective?

Hou

Oxley

2020

International Review of Financial Analysis

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“…Further, Anand, Gatchev, Madureira, Pirinsky, and Underwood (2011) identified the role of geographic influence, while Nimalendran and Ray (2014) showed that algorithmic trades for less liquid stocks are correlated with higher spreads and price impact, as well as contemporaneous trading on the lit venues. In recent research relating to rapidly growing cryptocurrency markets, price discovery and information flows have been analysed using Bitcoin ( Akyildirim, Corbet, Katsiampa, Kellard, & Sensoy, 2020 ; Brandvold, Molnár, Vagstad, & Andreas Valstad, 2015 ; Corbet, Lucey, Peat, & Vigne, 2018 ; Katsiampa, Corbet, & Lucey, 2019a ; Katsiampa, Corbet, & Lucey, 2019b ) where Mt.Gox and BTC-e were identified to be market leaders with the highest information share and Bitcoin futures dominate price discovery relative to spot markets.…”

Section: Previous Literaturementioning

confidence: 99%

The influence of the COVID-19 pandemic on asset-price discovery: Testing the case of Chinese informational asymmetry

Corbet

Hou

et al. 2020

International Review of Financial Analysis

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The circumstances surrounding the outbreak of the COVID-19 pandemic have generated substantial international political strain as governments attempt to mitigate the widespread associated social and economic repercussions. One theory has focused on the potential for Chinese informational asymmetry. Using Chinese financial market data, we attempt to establish the scale and direction of information flows during multiple distinct phases of the development of the pandemic. Two specific results are identified. Firstly, the majority of domestically-traded Chinese stocks present evidence of significant information flows at a far earlier stage than internationally-traded comparatives, suggesting that domestic investors recognised the dangers associated with COVID-19 far in advance of the rest of the world. One potential explanation surrounds the view that the severity of domestically-reported Chinese news was not appropriately recognised by international investors. Secondly, while evidence of safe-haven and flight-to-safety behaviour is evident throughout traditional energy and precious metal markets, cryptocurrencies became informationally-synchronised with Chinese equity markets, indicating their use as an investor safe-haven. This is a particularly concerning outcome for international policy-maker and regulatory authorities due to the fragility of these developing markets.

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The development of Bitcoin futures: Exploring the interactions between cryptocurrency derivatives

Abstract: This is a repository copy of The development of Bitcoin futures : exploring the interactions between cryptocurrency derivatives.

Cited by 87 publications

References 26 publications

Cryptocurrencies: market analysis and perspectives

Cryptocurrencies: market analysis and perspectives

What role do futures markets play in Bitcoin pricing? Causality, cointegration and price discovery from a time-varying perspective?

The influence of the COVID-19 pandemic on asset-price discovery: Testing the case of Chinese informational asymmetry

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