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Price discovery on Bitcoin markets


  • Paolo Pagnottoni

    () (University of Pavia)

  • Thomas Dimpfl

    () (University of Tübingen)


Abstract Trading of Bitcoin is spread about multiple venues where buying and selling is offered in various currencies. However, all exchanges trade one common good and by the law of one price, the different prices should not deviate in the long run. In this context, we are interested in which platform is the most important one in terms of price discovery. To this end, we use a pairwise approach accounting for a potential impact of exchange rates. The contribution to price discovery is measured by Hasbrouck’s and Gonzalo and Granger’s information share. We then derive an ordering with respect to the importance of each market which reveals that the Chinese OKCoin platform is the leader in price discovery of Bitcoin, followed by BTC China. Overall, the exchange rate is neither affected by Bitcoin trading nor does it contribute decisively to its price discovery.

Suggested Citation

  • Paolo Pagnottoni & Thomas Dimpfl, 2019. "Price discovery on Bitcoin markets," Digital Finance, Springer, vol. 1(1), pages 139-161, November.
  • Handle: RePEc:spr:digfin:v:1:y:2019:i:1:d:10.1007_s42521-019-00006-x
    DOI: 10.1007/s42521-019-00006-x

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    More about this item


    Price discovery; Bitcoin; Hasbrouck information shares;

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors


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