Trading activity and price discovery in Bitcoin futures markets
學年 109
學期 2
出版(發表)日期 2021-06-01
作品名稱 Trading activity and price discovery in Bitcoin futures markets
作品名稱(其他語言)
著者 Jui-Cheng Hung; Hung-Chun Liu; J. Jimmy Yang
單位
出版者
著錄名稱、卷期、頁數 Journal of Empirical Finance、62、Pp.107-120
摘要 This study examines the impact of trading activities on price discovery in the Bitcoin futures markets. We find that trades of hedgers are positively correlated with the modified information shares in both CME and CBOE futures markets, suggesting that their trading promotes futures market efficiency. Retailers’ trading activity relates negatively to the price discovery of the CME Bitcoin futures and thus destabilizes the market. Speculators exert positive (negative) impact on the price discovery in the CME (CBOE) Bitcoin futures. Our finding that CME’s Bitcoin futures exhibit superior price discovery than CBOE’s provides plausible justification for CBOE’s decision in March 2019 to suspend further listings of Bitcoin futures contracts.
關鍵字 Bitcoin futures; Trading activity; Price discovery; COT reports; Modified information share
語言 zh_TW
ISSN 1879-1727
期刊性質 國外
收錄於 SSCI
產學合作
通訊作者
審稿制度
國別 USA
公開徵稿
出版型式 ,電子版