Hu Yang, Hou Yang Greg, Oxley Les
School of Accounting, Finance and Economics, University of Waikato, New Zealand.
Int Rev Financ Anal. 2020 Nov;72:101569. doi: 10.1016/j.irfa.2020.101569. Epub 2020 Sep 10.
Recent papers that have explored spot and futures markets for Bitcoin have concluded that price discovery takes place in the spot, the futures market. Here, we consider the robustness of previous price discovery conclusions by investigating causal relationships, cointegration and price discovery between spot and futures markets for Bitcoin, using appropriate daily data and time-varying mechanisms. We apply the time-varying Granger causality test of Shi, Phillips, and Hurn [2018]; time-varying cointegration tests of Park and Hahn [1999], and time-varying information share methodologies, concluding that futures prices Granger cause spot prices and that futures prices dominate the price discovery process.
近期探讨比特币现货和期货市场的论文得出结论，价格发现发生在现货市场和期货市场。在此，我们通过使用适当的每日数据和时变机制，研究比特币现货和期货市场之间的因果关系、协整关系和价格发现，来考量先前价格发现结论的稳健性。我们应用了Shi、Phillips和Hurn[2018]的时变格兰杰因果检验；Park和Hahn[1999]的时变协整检验，以及时变信息份额方法，得出期货价格格兰杰导致现货价格，且期货价格主导价格发现过程的结论。
