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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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    Citations

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    Cited by:

    1. Pieters, Gina, 2016. "Does bitcoin reveal new information about exchange rates and financial integration?," Globalization and Monetary Policy Institute Working Paper 292, Federal Reserve Bank of Dallas.
    2. Gina Christelle Pieters, 2017. "Bitcoin Reveals Exchange Rate Manipulation and Detects Capital Controls," 2017 Papers ppi307, Job Market Papers.
    3. Jamal Bouoiyour & Refk Selmi, 2017. "Are Trump and Bitcoin Good Partners?," Papers 1703.00308, arXiv.org.
    4. Anna Iwona Piotrowska & Dariusz Piotrowski, 2017. "Barriers to the functioning of the bitcoin system ? user assessment," Proceedings of Economics and Finance Conferences 4807736, International Institute of Social and Economic Sciences.
    5. repec:elg:eechap:17331_2 is not listed on IDEAS
    6. Pieters, Gina & Vivanco, Sofia, 2017. "Financial regulations and price inconsistencies across Bitcoin markets," Information Economics and Policy, Elsevier, vol. 39(C), pages 1-14.
    7. repec:eee:japwor:v:46:y:2018:i:c:p:56-63 is not listed on IDEAS
    8. repec:eee:ecmode:v:64:y:2017:i:c:p:74-81 is not listed on IDEAS
    9. Bouri, Elie & Molnár, Peter & Azzi, Georges & Roubaud, David & Hagfors, Lars Ivar, 2017. "On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier?," Finance Research Letters, Elsevier, vol. 20(C), pages 192-198.
    10. Fantazzini, Dean & Nigmatullin, Erik & Sukhanovskaya, Vera & Ivliev, Sergey, 2016. "Everything you always wanted to know about bitcoin modelling but were afraid to ask. I," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 44, pages 5-24.
    11. repec:spt:apfiba:v:7:y:2017:i:3:f:7_3_4 is not listed on IDEAS
    12. Thomas Walther & Tony Klein & Hien Pham Thu, 2018. "Bitcoin is not the New Gold - A Comparison of Volatility, Correlation, and Portfolio Performance," Working Papers on Finance 1812, University of St. Gallen, School of Finance.
    13. Jarunee Wonglimpiyarat, 2016. "Technological Change of the Innovation Payment System," International Journal of Innovation and Technology Management (IJITM), World Scientific Publishing Co. Pte. Ltd., vol. 13(04), pages 1-20, August.
    14. Elie Bouri & Luis A. Gil-Alana & Rangan Gupta & David Roubaud, 2016. "Modelling Long Memory Volatility in the Bitcoin Market: Evidence of Persistence and Structural Breaks," Working Papers 201654, University of Pretoria, Department of Economics.
    15. Fantazzini, Dean & Nigmatullin, Erik & Sukhanovskaya, Vera & Ivliev, Sergey, 2017. "Everything you always wanted to know about bitcoin modelling but were afraid to ask. Part 2," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 45, pages 5-28.
    16. Gerald P. Dwyer, 2017. "Blockchain: a primer," Chapters,in: The Most Important Concepts in Finance, chapter 2, pages 12-27 Edward Elgar Publishing.
    17. Beata Szetela & Grzegorz Mentel & Stanislaw Gedek, 2016. "Dependency analysis between Bitcoin and selected global currencies," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 16, pages 133-144.
    18. Zura Kakushadze & Jim Kyung-Soo Liew, 2018. "CryptoRuble: From Russia with Love," Papers 1801.05760, arXiv.org.
    19. Lim, Siok Jin & Masih, Mansur, 2017. "Exploring portfolio diversification opportunities in Islamic capital markets through bitcoin: evidence from MGARCH-DCC and Wavelet approaches," MPRA Paper 79752, University Library of Munich, Germany.
    20. repec:eee:finlet:v:23:y:2017:i:c:p:300-305 is not listed on IDEAS
    21. Jamal BOUOIYOUR & Refk SELMI & Aviral Kumar TIWARI & Olaolu Richard OLAYENI, 2015. "What Determines Bitcoin’s Value?," Working Papers 2014-2015_13, CATT - UPPA - Université de Pau et des Pays de l'Adour, revised May 2015.
    22. repec:ibn:ijefaa:v:10:y:2018:i:1:p:13-22 is not listed on IDEAS

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    Keywords

    Bitcoin; Price discovery; Information share;

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