Economics at your fingertips  

Pricing Efficiency and Arbitrage in the Bitcoin Spot and Futures Markets

Seungho Lee, Nabil El Meslmani and Lorne Switzer ()

Research in International Business and Finance, 2020, vol. 53, issue C

Abstract: This study examines the pricing efficiency for the leading cryptocurrency, Bitcoin using spot prices and all CBOE and CME futures contracts traded from January 2018 to March 2019. We find that the futures basis provide some predictive power for future changes in the spot price and in the risk premium. However, the basis of Bitcoin is a biased predictor of the future spot price changes. Cointegration tests also demonstrate that futures prices are biased predictors of spot prices. Deviations from no-arbitrage between spot and futures markets are persistent and widen significantly with Bitcoin thefts (hacks, frauds) as well as alternative cryptocurrency issuances.

Keywords: Bitcoin; cryptocurrency; speculation; efficient markets; futures arbitrage (search for similar items in EconPapers)
JEL-codes: E31 E42 G11 G12 G14 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

DOI: 10.1016/j.ribaf.2020.101200

Access Statistics for this article

Research in International Business and Finance is currently edited by T. Lagoarde Segot

More articles in Research in International Business and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

Page updated 2021-10-04
Handle: RePEc:eee:riibaf:v:53:y:2020:i:c:s0275531919309808