Price discovery between Bitcoin spot markets and exchange traded products

Roland Gemayel, Tatiana Franus and James Bowden

Economics Letters, 2023, vol. 228, issue C

Abstract: We examine price discovery dynamics between Bitcoin exchange-traded products (ETPs) and spot markets on centralised cryptocurrency exchanges. We apply four popular price discovery measures to ETP and spot transaction data between August 2021 and July 2022. Our results show that price discovery is dominated by the spot market across all measures and sampling frequencies. This implies that ETP markets play a smaller role in the incorporation of new information about Bitcoin prices, and that informed investors largely prefer to trade on spot markets that offer significantly deeper liquidity and operate round the clock.

Keywords: Cryptocurrency; Bitcoin; Price discovery; Market efficiency; Exchange-traded products (search for similar items in EconPapers)
JEL-codes: C10 D40 G10 G20 G23 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:228:y:2023:i:c:s0165176523001775

DOI: 10.1016/j.econlet.2023.111152

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