BitMEX Bitcoin Derivatives: Price Discovery, Informational Efficiency and Hedging Effectiveness

@article{Alexander2019BitMEXBD,
  title={BitMEX Bitcoin Derivatives: Price Discovery, Informational Efficiency and Hedging Effectiveness},
  author={Carol Alexander and Jaehyuk Choi and Heungju Park and Sungbin Sohn},
  journal={Econometric Modeling: Derivatives eJournal},
  year={2019}
}
BitMEX is the largest unregulated bitcoin derivatives exchange, listing contracts suitable for leverage trading and hedging. Using minute-by-minute data, we examine its price discovery and hedging effectiveness. We find that BitMEX derivatives lead prices on major bitcoin spot exchanges. Bid-ask spreads, inter-exchange spreads and relative trading volumes are important determinants of price discovery. Further analysis shows that BitMEX derivatives have positive net spillover effects, are… Expand

References

SHOWING 1-10 OF 52 REFERENCES
Price discovery in bitcoin spot or futures
In December 2017, both the Chicago Board Options Exchange and the Chicago Mercantile Exchange introduced futures contracts on bitcoin. We investigate to what extent they provide useful informationExpand
Price Discovery, High-Frequency Trading and Jumps in Bitcoin Markets
A later version of this paper has been published in the Journal of Financial Stability (Volume 50, October 2020, Article Number 100776). When trading volumes are high, bitcoin futures on theExpand
The inefficiency of Bitcoin revisited: A high-frequency analysis with alternative currencies
  • A. Sensoy
  • Economics
  • Finance Research Letters
  • 2019
Abstract We compare the time-varying weak-form efficiency of Bitcoin prices in terms of US dollars (BTCUSD) and euro (BTCEUR) at a high-frequency level by using permutation entropy. We find thatExpand
Bitcoin Futures—What use are they?
Early analysis of Bitcoin concluded that it did not meet the economic conditions to be classified as a currency. Since this conclusion, interest in Bitcoin has increased substantially. We investigateExpand
The Inefficiency of Bitcoin Revisited: A Dynamic Approach
This letter revisits the informational efficiency of the Bitcoin market. In particular we analyze the time-varying behavior of long memory of returns on Bitcoin and volatility 2011 until 2017, usingExpand
Semi-strong efficiency of Bitcoin
Abstract This research examines the semi-strong efficiency of Bitcoin in the Bitstamp and Mt.Gox markets, showing how the digital currency responds to monetary policy and Bitcoin events. On the oneExpand
Bitcoin and market-(in)efficiency: a systematic time series approach
Recently, cryptocurrencies have received substantial attention by investors given their innovative features, simplicity and transparency. We here analyze the increasingly popular Bitcoin and verifyExpand
Price Manipulation in the Bitcoin Ecosystem
To its proponents, the cryptocurrency Bitcoin offers the potential to disrupt payment systems and traditional currencies. It has also been subject to security breaches and wild price fluctuations.Expand
The intraday dynamics of bitcoin
Bitcoin has received much investor attention in recent years and following this, there has been an explosion of academic studies examining this new financial asset. We contribute to the growingExpand
How Futures Trading Changed Bitcoin Prices
From Bitcoin?s inception in 2009 through mid-2017, its price remained under $4,000. In the second half of 2017, it climbed dramatically to nearly $20,000, but descended rapidly starting inExpand
...
1
2
3
4
5
...