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The relationship between arbitrage in futures and spot markets and Bitcoin price movements: Evidence from the Bitcoin markets

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  • Takahiro Hattori
  • Ryo Ishida

Abstract

We examine how investors arbitrage the Bitcoin spot and futures markets. Using intraday data of the Chicago Board Options Exchange, we reconstruct the actual arbitrage condition that investors confront. We find that there are few arbitrage profit opportunities in “normal” markets, but large arbitrage profit opportunities arise during Bitcoin market “crashes.”

Suggested Citation

  • Takahiro Hattori & Ryo Ishida, 2021. "The relationship between arbitrage in futures and spot markets and Bitcoin price movements: Evidence from the Bitcoin markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(1), pages 105-114, January.
    • Handle: RePEc:wly:jfutmk:v:41:y:2021:i:1:p:105-114
    DOI: 10.1002/fut.22171
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    References listed on IDEAS

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    Cited by:

    1. Pietro Saggese & Alessandro Belmonte & Nicola Dimitri & Angelo Facchini & Rainer Bohme, 2021. "Who are the arbitrageurs? Empirical evidence from Bitcoin traders in the Mt. Gox exchange platform," Papers 2109.10958, arXiv.org.
    2. Saggese, Pietro & Belmonte, Alessandro & Dimitri, Nicola & Facchini, Angelo & Böhme, Rainer, 2023. "Arbitrageurs in the Bitcoin ecosystem: Evidence from user-level trading patterns in the Mt. Gox exchange platform," Journal of Economic Behavior & Organization, Elsevier, vol. 213(C), pages 251-270.
    3. Guo, Zi-Yi, 2021. "Price volatilities of bitcoin futures," Finance Research Letters, Elsevier, vol. 43(C).
    4. Sharan Kumar SHETTY & Cristi SPULBAR & Ramona BIRAU & Mircea Laurentiu SIMION, 2023. "Perceived Attitude of Youth Towards Cryptocurrency Investment: A Case Study for India," Economics and Applied Informatics, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, issue 1, pages 12-25.
    5. Shimeng Shi, 2022. "Bitcoin futures risk premia," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(12), pages 2190-2217, December.
    6. Riccardo De Blasis & Alexander Webb, 2022. "Arbitrage, contract design, and market structure in Bitcoin futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(3), pages 492-524, March.
    7. Guo, Zi-Yi, 2022. "Risk management of Bitcoin futures with GARCH models," Finance Research Letters, Elsevier, vol. 45(C).

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