Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/230725
Authors: 
Pagnottoni, Paolo
Baur, Dirk G.
Dimpfl, Thomas
Year of Publication: 
2018
Series/Report no.: 
IRTG 1792 Discussion Paper No. 2018-014
Abstract: 
Trading of Bitcoin is spread about multiple venues where buying and selling is offered in various currencies. However, all markets trade one common good and by the law of one price, the different prices should not deviate in the long run. In this context we are interested in which platform is the most important one in terms of price discovery. To this end, we use a pairwise approach accounting for a potential impact of exchange rates. The contribution to price discovery is measured by Hasbrouck's and Gonzalo and Granger's information share. We then derive an ordering with respect to the importance of each market which reveals that the Chinese OKCoin platform is the leader in price discovery of Bitcoin, followed by BTC China.
Subjects: 
price discovery
Bitcoin
Hasbrouck information shares
JEL: 
C58
C32
G23
Document Type: 
Working Paper

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