BitMEX_PriceDiscovery_Body2.pdf (1.21 MB)
BitMEX Bitcoin derivatives: price discovery, informational efficiency and hedging effectiveness
journal contribution
posted on 2023-06-09, 18:36 authored by Carol AlexanderCarol Alexander, Jaehjuk Choi, Heungji Park, Sungbin SohnBitMEX is the largest unregulated bitcoin derivatives exchange, listing contracts suitable for leverage trading and hedging. Using minute-by-minute data, we examine its price discovery and hedging effectiveness. We find that BitMEX derivatives lead prices on major bitcoin spot exchanges. Bid-ask spreads, inter-exchange spreads and relative trading volumes are important determinants of price discovery. Further analysis shows that BitMEX derivatives have positive net spillover effects, are informationally more efficient than bitcoin spot prices, and serve as effective hedges against spot price volatility. Our evidence suggests that regulators prioritise investigation of the legitimacy of BitMEX and its contracts.
History
Publication status
- Published
File Version
- Accepted version
Journal
Journal of Futures MarketsISSN
0270-7314Publisher
WileyExternal DOI
Issue
1Volume
40Page range
23-43Department affiliated with
- Accounting and Finance Publications
Full text available
- Yes
Peer reviewed?
- Yes
Legacy Posted Date
2019-08-09First Open Access (FOA) Date
2021-09-23First Compliant Deposit (FCD) Date
2019-08-09Usage metrics
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