Investigating the Efficiency of Bitcoin Futures in Price Discovery
نویسندگان
چکیده
The present study investigates the efficiency of Bitcoin futures in price discovery process by assessing lead-lag relationship between and spot prices Bitcoin. tests whether market is leading mechanism for market. considers daily closing both future indices from December 12, 2017 to 31, 2020. stationarity two time-series variables tested using Augmented Dickey-Fuller test while long-run co-integrating Johansen Co-integration test. To causality, Error Correction Mechanism framework (ECM) used Wald applied assess short-run causality prices. results trace max-eigen statistics indicate that there long term markets. negative significant coefficient error correction indicates towards Chi-square suggest This shows acting as a indicator lagging indicator. Thus, it concluded taking place With entrance new information cryptocurrency market, first observed followed
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ژورنال
عنوان ژورنال: International Journal of Economics and Financial Issues
سال: 2022
ISSN: ['2146-4138']
DOI: https://doi.org/10.32479/ijefi.12783