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

Recent papers that have explored spot and futures markets for Bitcoin have concluded that price discovery takes place either in the spot, or the futures market. Here, we consider the robustness of previous price discovery conclusions by investigating causal relationships, cointegration and price dis...

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Detalles Bibliográficos
Autores principales: Hu, Yang, Hou, Yang Greg, Oxley, Les
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Inc. 2020
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7481826/
http://dx.doi.org/10.1016/j.irfa.2020.101569
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author Hu, Yang
Hou, Yang Greg
Oxley, Les
author_facet Hu, Yang
Hou, Yang Greg
Oxley, Les
author_sort Hu, Yang
collection PubMed
description Recent papers that have explored spot and futures markets for Bitcoin have concluded that price discovery takes place either in the spot, or the futures market. Here, we consider the robustness of previous price discovery conclusions by investigating causal relationships, cointegration and price discovery between spot and futures markets for Bitcoin, using appropriate daily data and time-varying mechanisms. We apply the time-varying Granger causality test of Shi, Phillips, and Hurn [2018]; time-varying cointegration tests of Park and Hahn [1999], and time-varying information share methodologies, concluding that futures prices Granger cause spot prices and that futures prices dominate the price discovery process.
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spelling pubmed-74818262020-09-10 What role do futures markets play in Bitcoin pricing? Causality, cointegration and price discovery from a time-varying perspective?() Hu, Yang Hou, Yang Greg Oxley, Les International Review of Financial Analysis Article Recent papers that have explored spot and futures markets for Bitcoin have concluded that price discovery takes place either in the spot, or the futures market. Here, we consider the robustness of previous price discovery conclusions by investigating causal relationships, cointegration and price discovery between spot and futures markets for Bitcoin, using appropriate daily data and time-varying mechanisms. We apply the time-varying Granger causality test of Shi, Phillips, and Hurn [2018]; time-varying cointegration tests of Park and Hahn [1999], and time-varying information share methodologies, concluding that futures prices Granger cause spot prices and that futures prices dominate the price discovery process. Elsevier Inc. 2020-11 2020-09-10 /pmc/articles/PMC7481826/ http://dx.doi.org/10.1016/j.irfa.2020.101569 Text en © 2020 Elsevier Inc. All rights reserved. Since January 2020 Elsevier has created a COVID-19 resource centre with free information in English and Mandarin on the novel coronavirus COVID-19. The COVID-19 resource centre is hosted on Elsevier Connect, the company's public news and information website. Elsevier hereby grants permission to make all its COVID-19-related research that is available on the COVID-19 resource centre - including this research content - immediately available in PubMed Central and other publicly funded repositories, such as the WHO COVID database with rights for unrestricted research re-use and analyses in any form or by any means with acknowledgement of the original source. These permissions are granted for free by Elsevier for as long as the COVID-19 resource centre remains active.
spellingShingle Article
Hu, Yang
Hou, Yang Greg
Oxley, Les
What role do futures markets play in Bitcoin pricing? Causality, cointegration and price discovery from a time-varying perspective?()
title What role do futures markets play in Bitcoin pricing? Causality, cointegration and price discovery from a time-varying perspective?()
title_full What role do futures markets play in Bitcoin pricing? Causality, cointegration and price discovery from a time-varying perspective?()
title_fullStr What role do futures markets play in Bitcoin pricing? Causality, cointegration and price discovery from a time-varying perspective?()
title_full_unstemmed What role do futures markets play in Bitcoin pricing? Causality, cointegration and price discovery from a time-varying perspective?()
title_short What role do futures markets play in Bitcoin pricing? Causality, cointegration and price discovery from a time-varying perspective?()
title_sort what role do futures markets play in bitcoin pricing? causality, cointegration and price discovery from a time-varying perspective?()
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7481826/
http://dx.doi.org/10.1016/j.irfa.2020.101569
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