淡江大學機構典藏:Item 987654321/126763
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    题名: Trading activity and price discovery in Bitcoin futures markets
    作者: Hung, Jui-Cheng;Liu, Hung-Chun;Yang, J. Jimmy
    关键词: Bitcoin futures;Trading activity;Price discovery;COT reports;Modified information share
    日期: 2021-06
    上传时间: 2025-03-20 09:23:37 (UTC+8)
    出版者: Elsevier
    摘要: This study examines the impact of trading activities on price discovery in the Bitcoin futures markets. We find that trades of hedgers are positively correlated with the modified information shares in both CME and CBOE futures markets, suggesting that their trading promotes futures market efficiency. Retailers’ trading activity relates negatively to the price discovery of the CME Bitcoin futures and thus destabilizes the market. Speculators exert positive (negative) impact on the price discovery in the CME (CBOE) Bitcoin futures. Our finding that CME’s Bitcoin futures exhibit superior price discovery than CBOE’s provides plausible justification for CBOE’s decision in March 2019 to suspend further listings of Bitcoin futures contracts.
    關聯: Journal of Empirical Finance、62、Pp.107-120
    DOI: 10.1016/j.jempfin.2021.03.001
    显示于类别:[財務金融學系暨研究所] 期刊論文

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