Price Discovery on Bitcoin Markets

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: IRTG 1792 Discussion Paper ; No. 2018-014

Classification and Topics

• Classification: Wirtschaft ; Financial Econometrics ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Pension Funds; Non-bank Financial Institutions; Financial Instruments; Institutional Investors
• Subject: price discovery ; Bitcoin ; Hasbrouck information shares

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Pagnottoni, Paolo ; Baur, Dirk G. ; Dimpfl, Thomas
• Event: Veröffentlichung
• (who): Humboldt-Universität zu Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series"
• (where): Berlin
• (when): 2018

Further information

• Handle: http://hdl.handle.net/10419/230725
• Last update: 10.03.2025, 11:43 AM CET