Price Clustering After the Introduction of Bitcoin Futures

  • Ahmed S Baig Texas Tech University
  • Omair Haroon Lahore University of Management Sciences
  • Nasim Sabah Framingham State University

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.

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Published
2020-04-23
How to Cite
BaigA. S., HaroonO., & SabahN. (2020). Price Clustering After the Introduction of Bitcoin Futures. Applied Finance Letters, 9, 36 - 42. https://doi.org/10.24135/afl.v9i0.200
Section
Articles submitted to regular issue