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Replication data for: Price Discovery in Cryptocurrency Markets

Version
V0
Resource Type
Dataset
Creator
  • Makarov, Igor
  • Schoar, Antoinette
Publication Date
2019-05-01
Description
  • Abstract

    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.
Availability
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Relations
  • Is supplement to
    DOI: 10.1257/pandp.20191020 (Text)
Publications
  • Makarov, Igor, and Antoinette Schoar. “Price Discovery in Cryptocurrency Markets.” AEA Papers and Proceedings 109 (May 2019): 97–99. https://doi.org/10.1257/pandp.20191020.
    • ID: 10.1257/pandp.20191020 (DOI)

Update Metadata: 2020-05-18 | Issue Number: 2 | Registration Date: 2019-12-07

Makarov, Igor; Schoar, Antoinette (2019): Replication data for: Price Discovery in Cryptocurrency Markets. Version: V0. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset. https://doi.org/10.3886/E116459