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Nothing but noise? Price discovery across cryptocurrency exchanges

Thomas Dimpfl () and Franziska J. Peter

Journal of Financial Markets, 2021, vol. 54, issue C

Abstract: We examine the price discovery contributions of cryptocurrency exchanges in the presence of market microstructure noise. Cryptocurrency markets exhibit a decisively higher level of microstructure noise compared with the NYSE or NASDAQ. Therefore, traditional measures of price discovery could be biased. To overcome this concern, we draw on the information leadership share proposed by Putniņš (2013); by leveraging this information, we find that Bitfinex is the leader in the price discovery process. These results highlight the importance of accounting for different levels of noise when evaluating price discovery contributions.

Keywords: Price discovery; Cryptocurrency; Bitcoin; Information share; Microstructure noise (search for similar items in EconPapers)
JEL-codes: C32 G14 G15 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finmar:v:54:y:2021:i:c:s1386418120300537

DOI: 10.1016/j.finmar.2020.100584

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Journal of Financial Markets is currently edited by B. Lehmann, D. Seppi and A. Subrahmanyam

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