Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 1, 2018 erstellt
Beschreibung:
In December 2017, both the CBOE and the CME introduced futures contracts on bitcoin. We investigate to what extent they provide useful information for the price discovery of bitcoin. We rely on the information share methodology of Hasbrouck (1995) and Gonzalo and Granger (1995) and find that the spot price leads the futures price. We attribute this result to the higher trading volume and the longer trading hours of the globally distributed Bitcoin spot market, compared to the relatively restricted access to the US based futures markets