Price Discovery in Cryptocurrency Markets
Name
pandp.20191020.pdf
Description
Published version
Size
451.12 KB
Format
Unknown
Checksum (MD5)
5a9f07efc6e4eff3b9558a654fb3d2b2
Author(s)
Makarov, Igor
Schoar, Antoinette
Date Issued
May 2019
Journal
American Economic Association Papers and Proceedings
Publisher
American Economic Association
Citation
2019. "Price Discovery in Cryptocurrency Markets." American Economic Association Papers and Proceedings, 109.
Version
Final published version
Abstract
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.
MIT Department
Sloan School of Management
Terms of Use
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.
Persistent DSpace Link
DOI of Published Version
10.1257/PANDP.20191020
