Autori: Doan, Bao , Pham, Huy , Nguyen Thanh, Binh
Titolo: Price discovery in the cryptocurrency market: evidence from institutional activity
Periodico: Economia e politica industriale
Anno: 2022 - Volume: 49 - Fascicolo: 1 - Pagina iniziale: 111 - Pagina finale: 131

This study analyzes the role of information shares of futures contracts in the price discovery of Bitcoin as well as its impact on the correlation of Bitcoin and traditional assets including S&P500, gold and bond. Time series estimations reveal positive and significant effects of information shares from Bitcoin futures trading activities, suggesting that the information from institutional trading activities contributes to the price discovery of Bitcoin. In addition, the study finds that increases in information shares of institutional trading in Bitcoin futures negatively affect Bitcoin-S&P500 and Bitcoin-gold correlations, but raise the Bitcoin-bond correlation.


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SICI: 0391-2078(2022)49:1<111:PDITCM>2.0.ZU;2-L

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