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Informativeness of CME Micro Bitcoin Futures in Pricing of Bitcoin: Intraday Evidence

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  • Pati, Pratap Chandra

Abstract

This study is the first to measure the informativeness of Chicago Mercantile Exchange(CME)-traded Micro Bitcoin futures (MBT) by exploring its contribution made to the price discovery process and realized volatility spillover of CME Bitcoin futures (BTC) and underlying Bitcoin spot markets. Hasbrouck's information share, and Lien and Shrestha's modified information share suggest that MBT contributes approximately equal or slightly greater proportion to price discovery with BTC. The dominance of MBT is marginally higher in Bitstamp and itBit compared to Coinbase and Kraken. The Diebold and Yilmaz index suggests bi-directional realized volatility spillover between CME futures and between Bitcoin and MBT.

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  • Pati, Pratap Chandra, 2022. "Informativeness of CME Micro Bitcoin Futures in Pricing of Bitcoin: Intraday Evidence," Finance Research Letters, Elsevier, vol. 49(C).
    • Handle: RePEc:eee:finlet:v:49:y:2022:i:c:s1544612322003117
    DOI: 10.1016/j.frl.2022.103084
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    Cited by:

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    2. Foley, Sean & Krekel, William & Mollica, Vito & Svec, Jiri, 2023. "Not so fast: Identifying and remediating slow and imprecise cryptocurrency exchange data," Finance Research Letters, Elsevier, vol. 51(C).
    3. Yu‐Lun Chen & J. Jimmy Yang, 2024. "Time‐varying price discovery in regular and microbitcoin futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(1), pages 103-121, January.

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