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Price discovery on Bitcoin exchanges

Author

Listed:
  • Brandvold, Morten
  • Molnár, Peter
  • Vagstad, Kristian
  • Andreas Valstad, Ole Christian

Abstract

Bitcoin is an open source peer-to-peer electronic money and payment system. It is traded at several exchanges and high-frequency trade data are publicly available. We study the contributions of Bitcoin exchanges to price discovery. Our results show that Mt.Gox and BTC-e are the market leaders with the highest information share. Our analysis further suggests that information share is dynamic and evolves significantly over time.

Suggested Citation

  • Brandvold, Morten & Molnár, Peter & Vagstad, Kristian & Andreas Valstad, Ole Christian, 2015. "Price discovery on Bitcoin exchanges," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 36(C), pages 18-35.
    • Handle: RePEc:eee:intfin:v:36:y:2015:i:c:p:18-35
    DOI: 10.1016/j.intfin.2015.02.010
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    References listed on IDEAS

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