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
Language:
English
Journal:
Journal of Futures Markets
Year:
2021
Document Type:
Article
Similar
MEDLINE
...
LILACS
LIS