The relationship between arbitrage in futures and spot markets and Bitcoin price movements: Evidence from the Bitcoin markets

Takahiro Hattori and Ryo Ishida

Journal of Futures Markets, 2021, vol. 41, issue 1, 105-114

Abstract: We examine how investors arbitrage the Bitcoin spot and futures markets. Using intraday data of the Chicago Board Options Exchange, we reconstruct the actual arbitrage condition that investors confront. We find that there are few arbitrage profit opportunities in “normal” markets, but large arbitrage profit opportunities arise during Bitcoin market “crashes.”

Date: 2021
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