Spot and Futures Prices of Bitcoin: Causality, Cointegration and Price Discovery from a Time-Varying Perspective

Yang Hu, Yang (Greg) Hou () and Les Oxley
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Yang (Greg) Hou: University of Waikato

Working Papers in Economics from University of Waikato

Abstract: This paper investigates the causal relationships, cointegration and price discovery between spot and futures markets of Bitcoin using the daily data from a time-varying perspective for the first time in the literature. We apply the time-varying Granger causality test of Shi et al. (2018) to explore the causal relationship between spot and futures markets and find that futures prices Granger cause spot prices. We identify the existence of a cointegration relationship under the consideration of a time-varying cointegrating coefficient between spot and futures prices based on the Park and Hahn (1999) test. We also explore the time-varying price discovery process and find that futures prices dominate in the process, implying a leading informational role.

Keywords: Bitcoin; futures; time-varying; causality; cointegration; price discovery (search for similar items in EconPapers)
JEL-codes: C5 G12 G13 G14 (search for similar items in EconPapers)
Date: 2019-08-31
New Economics Papers: this item is included in nep-ets and nep-pay
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:wai:econwp:19/13

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