Replication data for: Price Discovery in Cryptocurrency Markets

Principal Investigator(s): View help for Principal Investigator(s) Igor Makarov; Antoinette Schoar

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P2019_1020_data			12/07/2019 03:27:PM
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Project Citation:

Makarov, Igor, and Schoar, Antoinette. Replication data for: Price Discovery in Cryptocurrency Markets. Nashville, TN: American Economic Association [publisher], 2019. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-12-07. https://doi.org/10.3886/E116459V1

Project Description

Summary: We ask which markets drive bitcoin prices and how price discovery happens across different exchanges. Does the greater exuberance for cryptocurrencies outside the United States affect prices only on local markets or does it impact price formation on global cryptocurrency markets? We document significant heterogeneity in which price formation happens across exchanges and time. When markets are more integrated, shocks to prices on all exchanges contribute to price discovery. However, when markets become segmented, those exchanges that have large arbitrage spreads relative to the US price, i.e. where investors are more exuberant become much less important for price discovery.

Scope of Project

JEL Classification:
      E42 Monetary Systems; Standards; Regimes; Government and the Monetary System; Payment Systems
      F31 Foreign Exchange
      G13 Contingent Pricing; Futures Pricing; option pricing
      G15 International Financial Markets

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V1 [2019-12-07]

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