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Fractional cointegration in bitcoin spot and futures markets
Journal of Futures Markets ; 2021.
Article in English | Scopus | ID: covidwho-1227739
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

Full text: Available Collection: Databases of international organizations Database: Scopus Document Type: Article Language: English Journal: Journal of Futures Markets Year: 2021

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Full text: Available Collection: Databases of international organizations Database: Scopus Document Type: Article Language: English Journal: Journal of Futures Markets Year: 2021
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