Price Discovery in Cryptocurrency Markets

Igor Makarov and Antoinette Schoar

AEA Papers and Proceedings, 2019, vol. 109, 97-99

Abstract: We ask which markets drive bitcoin prices and how price discovery happens across different exchanges. Does the greater exuberance for cryptocurrencies outside the United States affect prices only on local markets or does it impact price formation on global cryptocurrency markets? We document significant heterogeneity in which price formation happens across exchanges and time. When markets are more integrated, shocks to prices on all exchanges contribute to price discovery. However, when markets become segmented, those exchanges that have large arbitrage spreads relative to the US price, i.e. where investors are more exuberant become much less important for price discovery.

JEL-codes: E42 F31 G13 G15 (search for similar items in EconPapers)
Date: 2019
Note: DOI: 10.1257/pandp.20191020
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Citations: View citations in EconPapers (11)

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