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

  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},
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


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