Informativeness of CME Micro Bitcoin Futures in Pricing of Bitcoin: Intraday Evidence

Pratap Chandra Pati

Finance Research Letters, 2022, vol. 49, issue C

Abstract: This study is the first to measure the informativeness of Chicago Mercantile Exchange(CME)-traded Micro Bitcoin futures (MBT) by exploring its contribution made to the price discovery process and realized volatility spillover of CME Bitcoin futures (BTC) and underlying Bitcoin spot markets. Hasbrouck's information share, and Lien and Shrestha's modified information share suggest that MBT contributes approximately equal or slightly greater proportion to price discovery with BTC. The dominance of MBT is marginally higher in Bitstamp and itBit compared to Coinbase and Kraken. The Diebold and Yilmaz index suggests bi-directional realized volatility spillover between CME futures and between Bitcoin and MBT.

Keywords: Micro Bitcoin futures; Price discovery; Hasbrouck's (1995) information share; Lien and Shrestha's (2009) modified information share; Vector Error Correction Model; Diebold and Yilmaz (2012) spillover index (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:49:y:2022:i:c:s1544612322003117

DOI: 10.1016/j.frl.2022.103084

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