Fractional cointegration in bitcoin spot and futures markets
采用分数协整向量自回归模型分析2017年12月至2020年7月比特币现货与期货的高频价格发现，发现期货市场主导价格发现，但新冠疫情期间现货市场反超，且期货市场长期处于升水状态。
Abstract This paper adopts the fractional cointegrated vector autoregressive (FCVAR) model to examine high‐frequency price discovery of bitcoin spot and futures prices from December 18, 2017 to July 31, 2020. We find that bitcoin spot and futures prices exhibit long memory properties and they are fractionally cointegrated. The result shows that the bitcoin futures market dominates the price discovery process. Interestingly, during the Covid‐19 pandemic, the bitcoin price discovery leadership has switched to the spot market. Moreover, we find that the bitcoin futures market follows a long‐run contango. The nonfractional CVAR model overestimates the price discovery of the futures market.