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Contribution Details
| Type | Journal Article |
| Scope | Discipline-based scholarship |
| Title | The development of Bitcoin futures: Exploring the interactions between cryptocurrency derivatives |
| Organization Unit | |
| Authors |
|
| Item Subtype | Original Work |
| Refereed | Yes |
| Status | Published in final form |
| Language |
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| Journal Title | Finance Research Letters |
| Publisher | Elsevier |
| Geographical Reach | international |
| ISSN | 1544-6123 |
| Volume | 34 |
| Page Range | 101234 |
| Date | 2020 |
| Abstract Text | We utilise a high-frequency analysis to investigate the period surrounding the establishment of two new futures contracts based on the performance of Bitcoin. Our analysis shows that there have been significant pricing effects sourced from both fraudulent and regulatory unease within the industry. While analysing breakpoints in efficiency, we verify the view that Bitcoin futures dominate price discovery relative to spot markets. However, we add to this research by finding that CBOE futures are found to be the leading source of informational flow when compared directly to their CME equivalent. |
| Free access at | DOI |
| Official URL | https://www.sciencedirect.com/science/article/pii/S1544612319304714 |
| Digital Object Identifier | 10.1016/j.frl.2019.07.007 |
| Other Identification Number | merlin-id:20607 |
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