Open AccessInformation transmission between bitcoin derivatives and spot markets: high-frequency causality analysis with Fourier approximation
Author(s) -
Efe Çağlar Çağlı,
Pınar Evrim Mandaci
Publication year - 2021
Publication title -
economics and business letters
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.197
H-Index - 4
ISSN - 2254-4380
DOI - 10.17811/ebl.10.4.2021.394-402
Subject(s) - transmission (telecommunications) , information transmission , econometrics , spot contract , causality (physics) , economics , portfolio , information flow , fourier transform , financial economics , spot market , monetary economics , futures contract , computer science , telecommunications , mathematics , engineering , computer network , linguistics , philosophy , physics , mathematical analysis , quantum mechanics , electricity , electrical engineering
This paper examines information transmission between Bitcoin derivatives and spot exchanges using 15-minutes interval data over May 2016 - September 2020. We employ a novel econometric framework with Fourier approximation, taking structural shifts in causal linkages, on the prices, returns, and volatilities of BitMEX, the derivatives market, and five other major spot exchanges, Coinbase, Bitstamp, Kraken, CEX.io, and Poloniex. Overall, the results provide robust evidence of information flow between the derivatives and spot exchanges, implying the markets react to new information simultaneously. The results are of importance for investors conducting portfolio allocation exercises and risk management strategies.