Information transmission between bitcoin derivatives and spot markets: high-frequency causality analysis with Fourier approximation

Authors

  • Efe Caglar Cagli Dokuz Eylul University
  • Pinar Evrim Mandaci Dokuz Eylul University

DOI:

https://doi.org/10.17811/ebl.10.4.2021.394-402

Keywords:

Bitcoin, Price Discovery, High-Frequency Data, Fourier Approximation, Structural Shifts

Abstract

This paper examines information transmission between Bitcoin derivatives and spot exchanges using 15-minutes interval data over May 2016 - September 2020. We employ a novel econometric framework with Fourier approximation, taking structural shifts in causal linkages, on the prices, returns, and volatilities of BitMEX, the derivatives market, and five other major spot exchanges, Coinbase, Bitstamp, Kraken, CEX.io, and Poloniex. Overall, the results provide robust evidence of information flow between the derivatives and spot exchanges, implying the markets react to new information simultaneously. The results are of importance for investors conducting portfolio allocation exercises and risk management strategies.

Author Biography

Pinar Evrim Mandaci, Dokuz Eylul University

Professor of Finance

Department of Business Administration
Faculty of Business
Dokuz Eylul University

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Published

2021-12-09

How to Cite

Cagli, E. C., & Evrim Mandaci, P. (2021). Information transmission between bitcoin derivatives and spot markets: high-frequency causality analysis with Fourier approximation. Economics and Business Letters, 10(4), 394-402. https://doi.org/10.17811/ebl.10.4.2021.394-402

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Articles