Price Clustering After the Introduction of Bitcoin Futures

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 cl...

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Bibliographic Details
Main Authors:	Ahmed S Baig, Omair Haroon, Nasim Sabah
Format:	Article
Language:	English
Published:	Tuwhera Open Access Publisher 2020-04-01
Series:	Applied Finance Letters
Online Access:	https://ojs.aut.ac.nz/applied-finance-letters/article/view/200

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spelling	doaj-9726078113f14d85bbbdd8791929eb072020-11-25T02:03:40ZengTuwhera Open Access PublisherApplied Finance Letters2253-57992253-58022020-04-01910.24135/afl.v9i0.200Price Clustering After the Introduction of Bitcoin FuturesAhmed S Baig0Omair Haroon1Nasim Sabah2Texas Tech UniversityLahore University of Management SciencesFramingham State University 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. https://ojs.aut.ac.nz/applied-finance-letters/article/view/200
collection	DOAJ
language	English
format	Article
sources	DOAJ
author	Ahmed S Baig Omair Haroon Nasim Sabah
spellingShingle	Ahmed S Baig Omair Haroon Nasim Sabah Price Clustering After the Introduction of Bitcoin Futures Applied Finance Letters
author_facet	Ahmed S Baig Omair Haroon Nasim Sabah
author_sort	Ahmed S Baig
title	Price Clustering After the Introduction of Bitcoin Futures
title_short	Price Clustering After the Introduction of Bitcoin Futures
title_full	Price Clustering After the Introduction of Bitcoin Futures
title_fullStr	Price Clustering After the Introduction of Bitcoin Futures
title_full_unstemmed	Price Clustering After the Introduction of Bitcoin Futures
title_sort	price clustering after the introduction of bitcoin futures
publisher	Tuwhera Open Access Publisher
series	Applied Finance Letters
issn	2253-5799 2253-5802
publishDate	2020-04-01
description	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.
url	https://ojs.aut.ac.nz/applied-finance-letters/article/view/200
work_keys_str_mv	AT ahmedsbaig priceclusteringaftertheintroductionofbitcoinfutures AT omairharoon priceclusteringaftertheintroductionofbitcoinfutures AT nasimsabah priceclusteringaftertheintroductionofbitcoinfutures
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Price Clustering After the Introduction of Bitcoin Futures

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