Price discovery in the cryptocurrency market: evidence from institutional activity

This study analyzes the role of information shares of futures contracts in the price discovery of Bitcoin as well as its impact on the correlation of Bitcoin and traditional assets including S&P500, gold and bond. Time series estimations reveal positive and significant effects of information sha...

Descripción completa

Detalles Bibliográficos
Autores principales: Doan, Bao, Pham, Huy, Nguyen Thanh, Binh
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer International Publishing 2021
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8602006/
http://dx.doi.org/10.1007/s40812-021-00202-0
_version_ 1784601482386997248
author Doan, Bao
Pham, Huy
Nguyen Thanh, Binh
author_facet Doan, Bao
Pham, Huy
Nguyen Thanh, Binh
author_sort Doan, Bao
collection PubMed
description This study analyzes the role of information shares of futures contracts in the price discovery of Bitcoin as well as its impact on the correlation of Bitcoin and traditional assets including S&P500, gold and bond. Time series estimations reveal positive and significant effects of information shares from Bitcoin futures trading activities, suggesting that the information from institutional trading activities contributes to the price discovery of Bitcoin. In addition, the study finds that increases in information shares of institutional trading in Bitcoin futures negatively affect Bitcoin-S&P500 and Bitcoin-gold correlations, but raise the Bitcoin-bond correlation.
format Online
Article
Text
id pubmed-8602006
institution National Center for Biotechnology Information
language English
publishDate 2021
publisher Springer International Publishing
record_format MEDLINE/PubMed
spelling pubmed-86020062021-11-19 Price discovery in the cryptocurrency market: evidence from institutional activity Doan, Bao Pham, Huy Nguyen Thanh, Binh J. Ind. Bus. Econ. Article This study analyzes the role of information shares of futures contracts in the price discovery of Bitcoin as well as its impact on the correlation of Bitcoin and traditional assets including S&P500, gold and bond. Time series estimations reveal positive and significant effects of information shares from Bitcoin futures trading activities, suggesting that the information from institutional trading activities contributes to the price discovery of Bitcoin. In addition, the study finds that increases in information shares of institutional trading in Bitcoin futures negatively affect Bitcoin-S&P500 and Bitcoin-gold correlations, but raise the Bitcoin-bond correlation. Springer International Publishing 2021-11-19 2022 /pmc/articles/PMC8602006/ http://dx.doi.org/10.1007/s40812-021-00202-0 Text en © The Author(s) under exclusive licence to Associazione Amici di Economia e Politica Industriale 2021 This article is made available via the PMC Open Access Subset for unrestricted research re-use and secondary analysis in any form or by any means with acknowledgement of the original source. These permissions are granted for the duration of the World Health Organization (WHO) declaration of COVID-19 as a global pandemic.
spellingShingle Article
Doan, Bao
Pham, Huy
Nguyen Thanh, Binh
Price discovery in the cryptocurrency market: evidence from institutional activity
title Price discovery in the cryptocurrency market: evidence from institutional activity
title_full Price discovery in the cryptocurrency market: evidence from institutional activity
title_fullStr Price discovery in the cryptocurrency market: evidence from institutional activity
title_full_unstemmed Price discovery in the cryptocurrency market: evidence from institutional activity
title_short Price discovery in the cryptocurrency market: evidence from institutional activity
title_sort price discovery in the cryptocurrency market: evidence from institutional activity
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8602006/
http://dx.doi.org/10.1007/s40812-021-00202-0
work_keys_str_mv AT doanbao pricediscoveryinthecryptocurrencymarketevidencefrominstitutionalactivity
AT phamhuy pricediscoveryinthecryptocurrencymarketevidencefrominstitutionalactivity
AT nguyenthanhbinh pricediscoveryinthecryptocurrencymarketevidencefrominstitutionalactivity

Ejemplares similares