What role do futures markets play in Bitcoin pricing? Causality, cointegration and price discovery from a time-varying perspective?
Recent papers that have explored spot and futures markets for Bitcoin have concluded that price discovery takes place either in the spot, or the futures market. Here, we consider the robustness of previous price discovery conclusions by investigating causal relationships, cointegration and price dis...
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| Veröffentlicht in: | International review of financial analysis 2020-11, Vol.72, p.101569-101569, Article 101569 |
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| container_title | International review of financial analysis |
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| creator | Hu, Yang Hou, Yang Greg Oxley, Les |
| description | Recent papers that have explored spot and futures markets for Bitcoin have concluded that price discovery takes place either in the spot, or the futures market. Here, we consider the robustness of previous price discovery conclusions by investigating causal relationships, cointegration and price discovery between spot and futures markets for Bitcoin, using appropriate daily data and time-varying mechanisms. We apply the time-varying Granger causality test of Shi, Phillips, and Hurn [2018]; time-varying cointegration tests of Park and Hahn [1999], and time-varying information share methodologies, concluding that futures prices Granger cause spot prices and that futures prices dominate the price discovery process.
[Display omitted]
•We find that Bitcoin futures prices Granger-cause Bitcoin spot prices•The results are based on daily data and allow for time varying mechanisms•We utilise the new time varying test Granger-causality of Shi et al. (2018)•We utilise the new time varying cointegration test of Park and Hahn (1999)•We use the correct Bitcoin spot prices for the CBOE and CME futures contract prices |
| doi_str_mv | 10.1016/j.irfa.2020.101569 |
| format | Article |
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[Display omitted]
•We find that Bitcoin futures prices Granger-cause Bitcoin spot prices•The results are based on daily data and allow for time varying mechanisms•We utilise the new time varying test Granger-causality of Shi et al. (2018)•We utilise the new time varying cointegration test of Park and Hahn (1999)•We use the correct Bitcoin spot prices for the CBOE and CME futures contract prices</description><identifier>ISSN: 1057-5219</identifier><identifier>EISSN: 1873-8079</identifier><identifier>EISSN: 1057-5219</identifier><identifier>DOI: 10.1016/j.irfa.2020.101569</identifier><identifier>PMID: 38620702</identifier><language>eng</language><publisher>United States: Elsevier Inc</publisher><subject>Bitcoin ; Cointegration ; Futures ; Granger causality ; Price discovery ; Time-varying</subject><ispartof>International review of financial analysis, 2020-11, Vol.72, p.101569-101569, Article 101569</ispartof><rights>2020 Elsevier Inc.</rights><rights>2020 Elsevier Inc. All rights reserved.</rights><rights>2020 Elsevier Inc. All rights reserved. 2020 Elsevier Inc.</rights><lds50>peer_reviewed</lds50><oa>free_for_read</oa><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c488t-271624bec3d8da26c1a8ac1deb1c799261fa4a1f6755cefaef5cf33330afc073</citedby><cites>FETCH-LOGICAL-c488t-271624bec3d8da26c1a8ac1deb1c799261fa4a1f6755cefaef5cf33330afc073</cites></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktohtml>$$Uhttps://dx.doi.org/10.1016/j.irfa.2020.101569$$EHTML$$P50$$Gelsevier$$H</linktohtml><link.rule.ids>230,314,776,780,881,3536,27904,27905,45975</link.rule.ids><backlink>$$Uhttps://www.ncbi.nlm.nih.gov/pubmed/38620702$$D View this record in MEDLINE/PubMed$$Hfree_for_read</backlink></links><search><creatorcontrib>Hu, Yang</creatorcontrib><creatorcontrib>Hou, Yang Greg</creatorcontrib><creatorcontrib>Oxley, Les</creatorcontrib><title>What role do futures markets play in Bitcoin pricing? Causality, cointegration and price discovery from a time-varying perspective?</title><title>International review of financial analysis</title><addtitle>Int Rev Financ Anal</addtitle><description>Recent papers that have explored spot and futures markets for Bitcoin have concluded that price discovery takes place either in the spot, or the futures market. Here, we consider the robustness of previous price discovery conclusions by investigating causal relationships, cointegration and price discovery between spot and futures markets for Bitcoin, using appropriate daily data and time-varying mechanisms. We apply the time-varying Granger causality test of Shi, Phillips, and Hurn [2018]; time-varying cointegration tests of Park and Hahn [1999], and time-varying information share methodologies, concluding that futures prices Granger cause spot prices and that futures prices dominate the price discovery process.
[Display omitted]
•We find that Bitcoin futures prices Granger-cause Bitcoin spot prices•The results are based on daily data and allow for time varying mechanisms•We utilise the new time varying test Granger-causality of Shi et al. (2018)•We utilise the new time varying cointegration test of Park and Hahn (1999)•We use the correct Bitcoin spot prices for the CBOE and CME futures contract prices</description><subject>Bitcoin</subject><subject>Cointegration</subject><subject>Futures</subject><subject>Granger causality</subject><subject>Price discovery</subject><subject>Time-varying</subject><issn>1057-5219</issn><issn>1873-8079</issn><issn>1057-5219</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2020</creationdate><recordtype>article</recordtype><recordid>eNp9kcFu1DAQhiMEoqXwAhyQjxzIYjsb25EQVVkBrVSJSyWO1qwz3npJ4mA7kXLmxfF2S0Uv9WUszz-fZ-YvireMrhhl4uN-5YKFFaf87qEWzbPilClZlYrK5nm-01qWNWfNSfEqxj2ltK6FfFmcVEpwKik_Lf78vIVEgu-QtJ7YKU0BI-kh_MIUydjBQtxAvrhkfI5jcMYNu3OygSlC59LygRwSCXcBkvMDgaG9U2Wci8bPGBZig-8JkOR6LGcISyaQEUMc0SQ34_nr4oWFLuKb-3hW3Hz7erO5LK9_fL_aXFyXZq1UKrlkgq-3aKpWtcCFYaDAsBa3zMim4YJZWAOzQta1QQtoa2OrfChYQ2V1Vnw-Ysdp22NrcEgBOp27zeMu2oPTjzODu9U7P2u5VkxxkQHv7wHB_54wJt3nGbHrYEA_RV3RqlFUiKbOUn6UmuBjDGgfvmFUH8zTe30wTx_M00fzctG7_xt8KPnnVhZ8Ogowb2l2GHQ0DgeDrQt5l7r17in-X8yDr5s</recordid><startdate>20201101</startdate><enddate>20201101</enddate><creator>Hu, Yang</creator><creator>Hou, Yang Greg</creator><creator>Oxley, Les</creator><general>Elsevier Inc</general><scope>NPM</scope><scope>AAYXX</scope><scope>CITATION</scope><scope>7X8</scope><scope>5PM</scope></search><sort><creationdate>20201101</creationdate><title>What role do futures markets play in Bitcoin pricing? Causality, cointegration and price discovery from a time-varying perspective?</title><author>Hu, Yang ; Hou, Yang Greg ; Oxley, Les</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c488t-271624bec3d8da26c1a8ac1deb1c799261fa4a1f6755cefaef5cf33330afc073</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2020</creationdate><topic>Bitcoin</topic><topic>Cointegration</topic><topic>Futures</topic><topic>Granger causality</topic><topic>Price discovery</topic><topic>Time-varying</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Hu, Yang</creatorcontrib><creatorcontrib>Hou, Yang Greg</creatorcontrib><creatorcontrib>Oxley, Les</creatorcontrib><collection>PubMed</collection><collection>CrossRef</collection><collection>MEDLINE - Academic</collection><collection>PubMed Central (Full Participant titles)</collection><jtitle>International review of financial analysis</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Hu, Yang</au><au>Hou, Yang Greg</au><au>Oxley, Les</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>What role do futures markets play in Bitcoin pricing? Causality, cointegration and price discovery from a time-varying perspective?</atitle><jtitle>International review of financial analysis</jtitle><addtitle>Int Rev Financ Anal</addtitle><date>2020-11-01</date><risdate>2020</risdate><volume>72</volume><spage>101569</spage><epage>101569</epage><pages>101569-101569</pages><artnum>101569</artnum><issn>1057-5219</issn><eissn>1873-8079</eissn><eissn>1057-5219</eissn><abstract>Recent papers that have explored spot and futures markets for Bitcoin have concluded that price discovery takes place either in the spot, or the futures market. Here, we consider the robustness of previous price discovery conclusions by investigating causal relationships, cointegration and price discovery between spot and futures markets for Bitcoin, using appropriate daily data and time-varying mechanisms. We apply the time-varying Granger causality test of Shi, Phillips, and Hurn [2018]; time-varying cointegration tests of Park and Hahn [1999], and time-varying information share methodologies, concluding that futures prices Granger cause spot prices and that futures prices dominate the price discovery process.
[Display omitted]
•We find that Bitcoin futures prices Granger-cause Bitcoin spot prices•The results are based on daily data and allow for time varying mechanisms•We utilise the new time varying test Granger-causality of Shi et al. (2018)•We utilise the new time varying cointegration test of Park and Hahn (1999)•We use the correct Bitcoin spot prices for the CBOE and CME futures contract prices</abstract><cop>United States</cop><pub>Elsevier Inc</pub><pmid>38620702</pmid><doi>10.1016/j.irfa.2020.101569</doi><tpages>1</tpages><oa>free_for_read</oa></addata></record> |
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| identifier | ISSN: 1057-5219 |
| ispartof | International review of financial analysis, 2020-11, Vol.72, p.101569-101569, Article 101569 |
| issn | 1057-5219 1873-8079 1057-5219 |
| language | eng |
| recordid | cdi_pubmedcentral_primary_oai_pubmedcentral_nih_gov_7481826 |
| source | Elsevier ScienceDirect Journals |
| subjects | Bitcoin Cointegration Futures Granger causality Price discovery Time-varying |
| title | What role do futures markets play in Bitcoin pricing? Causality, cointegration and price discovery from a time-varying perspective? |
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