Price Clustering After the Introduction of Bitcoin Futures
Ahmed S Baig, Omair Haroon, Nasim Sabah
Applied Finance Letters · 2020
doi:10.24135/afl.v9i0.200 (opens in a new tab)
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Abstract
Economic theory suggests that introduction of derivative contracts can improve the informational efficiency of the underlying asset prices (Danthine, 1978). In this study, we examine the impact of the introduction of Bitcoin futures on price clustering in Bitcoin. Our findings suggest that price clustering in Bitcoin meaningfully decreases post the introduction of its futures contracts.
Abstract licence: CC BY-NC-ND
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