The determinants of price discovery on bitcoin markets. Issue 5 (4th February 2020)

• Record Type: Journal Article
• Authors: Entrop, Oliver; Frijns, Bart; Seruset, Marco
• Is Part Of: Journal of futures markets. Volume 40:Issue 5(2020)
• Page Start: 816
• Page End: 837
• Publication Date: 2020-02-04
• Subjects: bitcoin -- futures -- price discovery; Commodity exchanges -- Periodicals; Foreign exchange futures -- Periodicals; 332.632
• DOI: 10.1002/fut.22101
• Languages: English
• ISSNs: 0270-7314

Abstract

Abstract: This paper investigates whether market quality, uncertainty, investor sentiment and attention, and macroeconomic news affect bitcoin price discovery in spot and futures markets. Over the period December 2017–March 2019, we find significant time variation in the contribution to price discovery of the two markets. Increases in price discovery are mainly driven by relative trading costs and volume, and uncertainty to a lesser extent. Additionally, medium‐sized trades contain most information in terms of price discovery. Finally, higher news‐based bitcoin sentiment increases the informational role of the futures market, while attention and macroeconomic news have no impact on price discovery.