Time-varying price discovery in regular and microbitcoin futures

IF 1.8 4区经济学 Q2 BUSINESS, FINANCE

Journal of Futures Markets Pub Date : 2023-10-10 DOI:10.1002/fut.22466

Yu-Lun Chen, J. Jimmy Yang

引用次数: 0

Abstract

We investigate the dynamic price discovery in the regular bitcoin (BTC) and microbitcoin (MBT) futures at the Chicago Mercantile Exchange. The only difference between the two bitcoin futures is the contract size, with MBT representing 1/50th of BTC. In contrast to recent findings in the literature, we find that BTC dominates MBT futures in price discovery, which can be attributed to the relative liquidity and investor structure in the BTC and MBT futures. In addition, crypto hacking activities can affect price discovery in bitcoin futures as we find higher hack stolen funds reduce (enhance) the price discovery in BTC (MBT) futures. These findings provide practical implications for bitcoin investors and regulators.

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普通和微型比特币期货的时变价格发现

我们研究了芝加哥商品交易所普通比特币（BTC）和微型比特币（MBT）期货的动态价格发现。两种比特币期货的唯一区别在于合约大小，MBT 为 BTC 的 1/50。与近期的文献研究结果不同，我们发现 BTC 在价格发现方面主导 MBT 期货，这可归因于 BTC 和 MBT 期货的相对流动性和投资者结构。此外，加密货币黑客活动也会影响比特币期货的价格发现，因为我们发现黑客盗取的资金越多，BTC（MBT）期货的价格发现就越低（越高）。这些发现为比特币投资者和监管机构提供了实际意义。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Futures Markets BUSINESS, FINANCE-

CiteScore

3.70

自引率

15.80%

发文量

期刊介绍： The Journal of Futures Markets chronicles the latest developments in financial futures and derivatives. It publishes timely, innovative articles written by leading finance academics and professionals. Coverage ranges from the highly practical to theoretical topics that include futures, derivatives, risk management and control, financial engineering, new financial instruments, hedging strategies, analysis of trading systems, legal, accounting, and regulatory issues, and portfolio optimization. This publication contains the very latest research from the top experts.