Price Discovery on Bitcoin Markets

Paolo Pagnottoni, Dirk G. Baur and Thomas Dimpfl

No 2018-014, IRTG 1792 Discussion Papers from Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series"

Abstract: Trading of Bitcoin is spread about multiple venues where buying and selling is offered in various currencies. However, all markets trade one common good and by the law of one price, the different prices should not deviate in the long run. In this context we are interested in which platform is the most important one in terms of price discovery. To this end, we use a pairwise approach accounting for a potential impact of exchange rates. The contribution to price discovery is measured by Hasbrouck's and Gonzalo and Granger's information share. We then derive an ordering with respect to the importance of each market which reveals that the Chinese OKCoin platform is the leader in price discovery of Bitcoin, followed by BTC China.

Keywords: price discovery; Bitcoin; Hasbrouck information shares (search for similar items in EconPapers)
JEL-codes: C32 C58 G23 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (24)

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Journal Article: Price discovery on Bitcoin markets (2019)
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