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The relationship between arbitrage in futures and spot markets and Bitcoin price movements: Evidence from the Bitcoin markets
Author(s) -
Hattori Takahiro,
Ishida Ryo
Publication year - 2021
Publication title -
journal of futures markets
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.88
H-Index - 55
eISSN - 1096-9934
pISSN - 0270-7314
DOI - 10.1002/fut.22171
Subject(s) - arbitrage , futures contract , economics , financial economics , index arbitrage , profit (economics) , risk arbitrage , monetary economics , arbitrage pricing theory , capital asset pricing model , microeconomics
We examine how investors arbitrage the Bitcoin spot and futures markets. Using intraday data of the Chicago Board Options Exchange, we reconstruct the actual arbitrage condition that investors confront. We find that there are few arbitrage profit opportunities in “normal” markets, but large arbitrage profit opportunities arise during Bitcoin market “crashes.”