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Price Discovery in Cryptocurrency Markets

From Igor Makarov and Antoinette Schoar

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.

Featured Publication

"Price Discovery in Cryptocurrency Markets."

Makarov, Igor and Antoinette Schoar. AEA Papers and Proceedings Vol. 109, (2019): 97-99.

Learn More about Cryptocurrency

Current Cryptocurrency projects from the Consumer Finance Initiative cover topics including the Terra Luna crash, crypto arbitrage and bitcoin and blockchain technology. Find more Cryptocurrency research here.