Price discovery in cryptocurrency markets

Igor Makarov and Antoinette Schoar

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: We ask which markets drive bitcoin prices and how price discovery happens across different exchanges. Does the greater exuberance for cryptocurrencies outside the United States affect prices only on local markets or does it impact price formation on global cryptocurrency markets? We document significant heterogeneity in which price formation happens across exchanges and time. When markets are more integrated, shocks to prices on all exchanges contribute to price discovery. However, when markets become segmented, those exchanges that have large arbitrage spreads relative to the US price, i.e. where investors are more exuberant become much less important for price discovery.

JEL-codes: E42 F31 G13 G15 (search for similar items in EconPapers)
Pages: 3 pages
Date: 2019-05-01
New Economics Papers: this item is included in nep-com and nep-pay
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Citations: View citations in EconPapers (5)

Published in AEA Papers and Proceedings, 1, May, 2019, 109, pp. 97-99. ISSN: 2574-0768

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Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:100410

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