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Price discovery in the cryptocurrency market: evidence from institutional activity

Author

Listed:
  • Bao Doan

    (RMIT University)

  • Huy Pham

    (RMIT University)

  • Binh Nguyen Thanh

    (RMIT University)

Abstract

This study analyzes the role of information shares of futures contracts in the price discovery of Bitcoin as well as its impact on the correlation of Bitcoin and traditional assets including S&P500, gold and bond. Time series estimations reveal positive and significant effects of information shares from Bitcoin futures trading activities, suggesting that the information from institutional trading activities contributes to the price discovery of Bitcoin. In addition, the study finds that increases in information shares of institutional trading in Bitcoin futures negatively affect Bitcoin-S&P500 and Bitcoin-gold correlations, but raise the Bitcoin-bond correlation.

Suggested Citation

  • Bao Doan & Huy Pham & Binh Nguyen Thanh, 2022. "Price discovery in the cryptocurrency market: evidence from institutional activity," Economia e Politica Industriale: Journal of Industrial and Business Economics, Springer;Associazione Amici di Economia e Politica Industriale, vol. 49(1), pages 111-131, March.
    • Handle: RePEc:spr:epolin:v:49:y:2022:i:1:d:10.1007_s40812-021-00202-0
    DOI: 10.1007/s40812-021-00202-0
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    1. Burke, Matt & Fry, John & Kemp, Sean & Woodhouse, Drew, 2022. "Attention to Authority: The behavioural finance of Covid-19," Finance Research Letters, Elsevier, vol. 49(C).

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    More about this item

    Keywords

    Price discovery; Information shares; Institutional activity; Bitcoin futures;
    All these keywords.

    JEL classification:

    • G19 - Financial Economics - - General Financial Markets - - - Other
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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