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1826202497513947136
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MIT
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<jats:p> We ask which markets drive bitcoin prices and how price discovery happens across different exchanges. Does the greater exuberance for cryptocurrencies outside the United States affect prices only on local markets or does it impact price formation on global cryptocurrency markets? We document significant heterogeneity in which price formation happens across exchanges and time. When markets are more integrated, shocks to prices on all exchanges contribute to price discovery. However, when markets become segmented, those exchanges that have large arbitrage spreads relative to the US price, i.e. where investors are more exuberant become much less important for price discovery. </jats:p>
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2024-09-23T12:08:26Z
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Article
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mit-1721.1/137352
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Massachusetts Institute of Technology
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| language |
English
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2024-09-23T12:08:26Z
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2021
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American Economic Association
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dspace
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mit-1721.1/1373522021-11-05T03:22:48Z Price Discovery in Cryptocurrency Markets <jats:p> We ask which markets drive bitcoin prices and how price discovery happens across different exchanges. Does the greater exuberance for cryptocurrencies outside the United States affect prices only on local markets or does it impact price formation on global cryptocurrency markets? We document significant heterogeneity in which price formation happens across exchanges and time. When markets are more integrated, shocks to prices on all exchanges contribute to price discovery. However, when markets become segmented, those exchanges that have large arbitrage spreads relative to the US price, i.e. where investors are more exuberant become much less important for price discovery. </jats:p> 2021-11-04T15:51:20Z 2021-11-04T15:51:20Z 2019-05 2021-03-26T14:26:06Z Article http://purl.org/eprint/type/JournalArticle https://hdl.handle.net/1721.1/137352 2019. "Price Discovery in Cryptocurrency Markets." American Economic Association Papers and Proceedings, 109. en 10.1257/PANDP.20191020 American Economic Association Papers and Proceedings Article is made available in accordance with the publisher's policy and may be subject to US copyright law. Please refer to the publisher's site for terms of use. application/pdf American Economic Association American Economic Association
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| spellingShingle |
Price Discovery in Cryptocurrency Markets
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| title |
Price Discovery in Cryptocurrency Markets
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| title_full |
Price Discovery in Cryptocurrency Markets
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| title_fullStr |
Price Discovery in Cryptocurrency Markets
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| title_full_unstemmed |
Price Discovery in Cryptocurrency Markets
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| title_short |
Price Discovery in Cryptocurrency Markets
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| title_sort |
price discovery in cryptocurrency markets
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| url |
https://hdl.handle.net/1721.1/137352
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