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Price discovery in bitcoin spot or futures during the Covid-19 pandemic? evidence from the time-varying parameter vector autoregressive model with stochastic volatility

This paper examines price discovery between bitcoin spot and futures using static measures, namely information share (IS), component share (CS), modified information share (MIS), information leadership share (ILS), impulse response, and a time-varying parameter vector autoregressive (TVP-VAR) model...

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Main Authors: Mohamad, Azhar, Inani, Sarveshwar Kumar
Format: Article
Language:English
Published: Taylor & Francis 2022
Subjects:
HG221 Bitcoin/Cryptocurrency/Block Chain
Online Access:http://irep.iium.edu.my/99156/1/99156_Price%20discovery%20in%20bitcoin%20spot.pdf
http://irep.iium.edu.my/99156/
https://www.tandfonline.com/eprint/ZRJJE9GEQ77RMEPNH39G/full?target=10.1080/13504851.2022.2106030
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spelling my.iium.irep.991562022-08-03T07:59:31Z http://irep.iium.edu.my/99156/ Price discovery in bitcoin spot or futures during the Covid-19 pandemic? evidence from the time-varying parameter vector autoregressive model with stochastic volatility Mohamad, Azhar Inani, Sarveshwar Kumar HG221 Bitcoin/Cryptocurrency/Block Chain This paper examines price discovery between bitcoin spot and futures using static measures, namely information share (IS), component share (CS), modified information share (MIS), information leadership share (ILS), impulse response, and a time-varying parameter vector autoregressive (TVP-VAR) model with stochastic volatility and Markov Chain Monte Carlo (MCMC) sampling algorithm. Our one-minute and daily datasets cover 16 months before and 16 months during the Covid-19 pandemic (November 2018 to June 2021). Our IS, CS, MIS and impulse response results indicate a stronger bitcoin spot leadership, whereas our ILS results point to a weaker bitcoin futures dominance, during the Covid-19 pandemic. We construe this, as far as microstructure noise is concerned, as meaning that the bitcoin price is discovered in the spot market, and its dominance appears to have strengthened during the pandemic. However, as far as ‘pure speed’ is concerned, price discovery takes place in the bitcoin futures market, and its leadership seems to have weakened during the Covid-19 pandemic. The results of the time-varying measure (TVP-VAR) imply that, before the pandemic, price discovery took place within bitcoin futures but, during the pandemic, price discovery leadership has changed course, to occur within bitcoin spot. Taylor & Francis 2022-07-26 Article PeerReviewed application/pdf en http://irep.iium.edu.my/99156/1/99156_Price%20discovery%20in%20bitcoin%20spot.pdf Mohamad, Azhar and Inani, Sarveshwar Kumar (2022) Price discovery in bitcoin spot or futures during the Covid-19 pandemic? evidence from the time-varying parameter vector autoregressive model with stochastic volatility. Applied Economics Letters, 29 (15). pp. 1-10. ISSN 1350-4851 E-ISSN 1466-4291 https://www.tandfonline.com/eprint/ZRJJE9GEQ77RMEPNH39G/full?target=10.1080/13504851.2022.2106030 10.1080/13504851.2022.2106030
institution Universiti Islam Antarabangsa Malaysia
building IIUM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider International Islamic University Malaysia
content_source IIUM Repository (IREP)
url_provider http://irep.iium.edu.my/
language English
topic HG221 Bitcoin/Cryptocurrency/Block Chain
spellingShingle HG221 Bitcoin/Cryptocurrency/Block Chain
Mohamad, Azhar
Inani, Sarveshwar Kumar
Price discovery in bitcoin spot or futures during the Covid-19 pandemic? evidence from the time-varying parameter vector autoregressive model with stochastic volatility
description This paper examines price discovery between bitcoin spot and futures using static measures, namely information share (IS), component share (CS), modified information share (MIS), information leadership share (ILS), impulse response, and a time-varying parameter vector autoregressive (TVP-VAR) model with stochastic volatility and Markov Chain Monte Carlo (MCMC) sampling algorithm. Our one-minute and daily datasets cover 16 months before and 16 months during the Covid-19 pandemic (November 2018 to June 2021). Our IS, CS, MIS and impulse response results indicate a stronger bitcoin spot leadership, whereas our ILS results point to a weaker bitcoin futures dominance, during the Covid-19 pandemic. We construe this, as far as microstructure noise is concerned, as meaning that the bitcoin price is discovered in the spot market, and its dominance appears to have strengthened during the pandemic. However, as far as ‘pure speed’ is concerned, price discovery takes place in the bitcoin futures market, and its leadership seems to have weakened during the Covid-19 pandemic. The results of the time-varying measure (TVP-VAR) imply that, before the pandemic, price discovery took place within bitcoin futures but, during the pandemic, price discovery leadership has changed course, to occur within bitcoin spot.
format Article
author Mohamad, Azhar
Inani, Sarveshwar Kumar
author_facet Mohamad, Azhar
Inani, Sarveshwar Kumar
author_sort Mohamad, Azhar
title Price discovery in bitcoin spot or futures during the Covid-19 pandemic? evidence from the time-varying parameter vector autoregressive model with stochastic volatility
title_short Price discovery in bitcoin spot or futures during the Covid-19 pandemic? evidence from the time-varying parameter vector autoregressive model with stochastic volatility
title_full Price discovery in bitcoin spot or futures during the Covid-19 pandemic? evidence from the time-varying parameter vector autoregressive model with stochastic volatility
title_fullStr Price discovery in bitcoin spot or futures during the Covid-19 pandemic? evidence from the time-varying parameter vector autoregressive model with stochastic volatility
title_full_unstemmed Price discovery in bitcoin spot or futures during the Covid-19 pandemic? evidence from the time-varying parameter vector autoregressive model with stochastic volatility
title_sort price discovery in bitcoin spot or futures during the covid-19 pandemic? evidence from the time-varying parameter vector autoregressive model with stochastic volatility
publisher Taylor & Francis
publishDate 2022
url http://irep.iium.edu.my/99156/1/99156_Price%20discovery%20in%20bitcoin%20spot.pdf
http://irep.iium.edu.my/99156/
https://www.tandfonline.com/eprint/ZRJJE9GEQ77RMEPNH39G/full?target=10.1080/13504851.2022.2106030
_version_ 1740825508574134272
score 13.211869

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