比特币衍生品与现货市场之间的信息传递：傅立叶近似高频因果关系分析

IF 0.9 Q3 ECONOMICS

Economics and Business Letters Pub Date : 2021-12-09 DOI:10.17811/ebl.10.4.2021.394-402

E. C. Cagli, Pınar Evrim Mandaci

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引用次数: 0

摘要

本文使用2016年5月至2020年9月的15分钟间隔数据研究了比特币衍生品和现货交易所之间的信息传输。我们采用了一个具有傅立叶近似的新计量经济学框架，对BitMEX、衍生品市场和其他五个主要现货交易所Coinbase、Bitstamp、Kraken、CEX.io和Poloniex的价格、回报和波动性进行了因果关系的结构性转变。总体而言，研究结果为衍生品和现货交易所之间的信息流动提供了有力的证据，这意味着市场同时对新信息做出反应。研究结果对投资者进行投资组合配置和风险管理策略具有重要意义。

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Information transmission between bitcoin derivatives and spot markets: high-frequency causality analysis with Fourier approximation

This paper examines information transmission between Bitcoin derivatives and spot exchanges using 15-minutes interval data over May 2016 - September 2020. We employ a novel econometric framework with Fourier approximation, taking structural shifts in causal linkages, on the prices, returns, and volatilities of BitMEX, the derivatives market, and five other major spot exchanges, Coinbase, Bitstamp, Kraken, CEX.io, and Poloniex. Overall, the results provide robust evidence of information flow between the derivatives and spot exchanges, implying the markets react to new information simultaneously. The results are of importance for investors conducting portfolio allocation exercises and risk management strategies.

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来源期刊

Economics and Business Letters ECONOMICS-

CiteScore

1.80

自引率

11.10%

发文量

期刊介绍： Economics and Business Letters is an open access journal that publishes both theoretical and empirical quality original papers in all economics and business fields. In addition, relevant discussions on current policy issues will be considered for the Policy Watch section. As general strategy of EBL, the journal will launch calls for papers for special issues on topics of interest, generally with invited guest editors. The maximum length of the letters is limited to 2,500 words.