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Price discovery in Bitcoin: the impact of unregulated markets
journal contribution
posted on 2023-06-07, 07:37 authored by Carol AlexanderCarol Alexander, Daniel Frank HeckDaniel Frank HeckWe analyse minute-level multi-dimensional information flows within and between bitcoin spot and derivatives. We show that perpetual swaps and futures traded on the unregulated exchanges Huobi, OKEx and BitMEX are much the strongest instruments for bitcoin price discovery and we examine potential determinants of their leadership strength. Prices on the regulated CME bitcoin futures and the US-based spot exchanges react to, rather than lead, price movements on the unregulated exchanges and they may do so relatively slowly. In a multi-dimensional setting including the main price leaders within futures, perpetuals and spot markets, the CME futures have a very minor effect on price discovery, even less than the spot exchanges Bitfinex, Bitstamp and Coinbase. Our findings highlight the persistent problems stemming from inconsistent regulation in bitcoin spot and derivatives markets, including insufficient price stability and lack of resistance to manipulative trading. We conclude that the SEC are correct to
History
Publication status
- Published
File Version
- Accepted version
Journal
Journal of Financial StabilityISSN
1572-3089Publisher
ElsevierExternal DOI
Volume
50Article number
a100776Department affiliated with
- Accounting and Finance Publications
Full text available
- Yes
Peer reviewed?
- Yes
Legacy Posted Date
2020-07-27First Open Access (FOA) Date
2022-02-01First Compliant Deposit (FCD) Date
2020-07-27Usage metrics
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