Information Transmission between Bitcoin Derivatives and Spot Markets: High-Frequency Causality Analysis with Fourier Approximation

Çağlı E. Ç., Evrim Mandacı P.

Economics and Business Letters, cilt.10, sa.4, ss.394-402, 2021 (ESCI) identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 10 Sayı: 4
  • Basım Tarihi: 2021
  • Doi Numarası: 10.17811/ebl.10.4.2021.394-402
  • Dergi Adı: Economics and Business Letters
  • Derginin Tarandığı İndeksler: Emerging Sources Citation Index (ESCI), Scopus, Business Source Elite, Business Source Premier, EconLit, DIALNET
  • Sayfa Sayıları: ss.394-402
  • Anahtar Kelimeler: Bitcoin, Price Discovery, High-Frequency Data, Fourier approximation, Structural Shifts, PRICE DISCOVERY, OIL PRICES, INEFFICIENCY, FUTURES
  • Dokuz Eylül Üniversitesi Adresli: Evet

Özet

This paper examines the information transmission between Bitcoin derivatives and spot exchanges using 15-minute interval data over May 2016 - September 2020. We employ a novel econometric framework with Fourier approximation, taking structural shifts in causal linkages, on the prices, returns, and volatilities of BitMEX, the derivatives market, and five other major spot exchanges, Coinbase, Bitstamp, Kraken, CEX.io, and Poloniex. Overall, the results provide robust evidence of information flow between the derivatives and spot exchanges, implying the markets react to new information simultaneously. The results are of importance for investors conducting portfolio allocation exercises and risk management strategies.