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Price discovery on Bitcoin exchanges

Morten Brandvold, Peter Molnár, Kristian Vagstad and Ole Christian Andreas Valstad

Journal of International Financial Markets, Institutions and Money, 2015, vol. 36, issue C, 18-35

Abstract: Bitcoin is an open source peer-to-peer electronic money and payment system. It is traded at several exchanges and high-frequency trade data are publicly available. We study the contributions of Bitcoin exchanges to price discovery. Our results show that Mt.Gox and BTC-e are the market leaders with the highest information share. Our analysis further suggests that information share is dynamic and evolves significantly over time.

Keywords: Bitcoin; Price discovery; Information share (search for similar items in EconPapers)
Date: 2015
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