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This paper adopts the fractional cointegrated vector autoregressive (FCVAR) model to examine high-frequency price discovery of bitcoin spot and futures prices from December 18, 2017 to July 31, 2020 We… Click to show full abstract
This paper adopts the fractional cointegrated vector autoregressive (FCVAR) model to examine high-frequency price discovery of bitcoin spot and futures prices from December 18, 2017 to July 31, 2020 We find that bitcoin spot and futures prices exhibit long memory properties and they are fractionally cointegrated The result shows that the bitcoin futures market dominates the price discovery process Interestingly, during the Covid-19 pandemic, the bitcoin price discovery leadership has switched to the spot market Moreover, we find that the bitcoin futures market follows a long-run contango The nonfractional CVAR model overestimates the price discovery of the futures market © 2021 Wiley Periodicals LLC
Journal Title: Journal of Futures Markets
Year Published: 2021
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