Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 24, 2022 erstellt
Beschreibung:
The introduction of futures contracts on an asset is often heralded as an indicator of market maturity. In this paper, we revisit the currently, mixed empirical evidence relating to price discovery between Bitcoin spot and futures markets. Confirming previous findings, information share (IS) and component share (CS) metrics suggest that futures markets lead spot markets in price discovery. In sharp contrast, however, results for the information share leadership (ILS) metric, which is more resistant to Bitcoin's pervasive market microstructure noise, indicate that price discovery in the spot market dominates in the pre-COVID period. Some evidence is found for the increasing dominance of futures markets in the post-COVID period, pointing to an emerging maturity in Bitcoin markets