Price discovery in bitcoin spot or futures during the Covid-19 pandemic? evidence from the time-varying parameter vector autoregressive model with stochastic volatility

• Main Authors: Mohamad, Azhar, Inani, Sarveshwar Kumar
• Format: Article
• Language: English
• Published: Taylor & Francis 2022
• Subjects: HG221 Bitcoin/Cryptocurrency/Block Chain
• Online Access: http://irep.iium.edu.my/99156/1/99156_Price%20discovery%20in%20bitcoin%20spot.pdf; http://irep.iium.edu.my/99156/; https://www.tandfonline.com/eprint/ZRJJE9GEQ77RMEPNH39G/full?target=10.1080/13504851.2022.2106030

This paper examines price discovery between bitcoin spot and futures using static measures, namely information share (IS), component share (CS), modified information share (MIS), information leadership share (ILS), impulse response, and a time-varying parameter vector autoregressive (TVP-VAR) model...