Price discovery through wrapped tokens
研究了封装代币（如Wrapped Bitcoin）如何贡献于加密货币的价格发现，发现wBTC约占比特币价格发现的10%，且其贡献与流动性、交易量及去中心化金融活动正相关。
We examine how wrapped tokens – tokenized representations of assets on other block/chains – contribute to cryptocurrency price discovery. Based on high-frequency data for Wrapped Bitcoin (wBTC), our results indicate that wBTC accounts for about 10% of the total price discovery of Bitcoin as measured by information shares. We show that wBTC’s contribution to price discovery is positively related to wBTC liquidity and trading volume as well as to important measures of decentralized finance activity. Our results have significant implications for the relationships between crypto-assets on different platforms as well as for systemic risk in the crypto-ecosystem. • Wrapped Bitcoin (wBTC) is a tokenized form of Bitcoin on other blockchains. • wBTC contributes significantly to Bitcoin price discovery. • Price discovery rises with liquidity and trading volume. • wBTC’s price discovery share increases with decentralized finance activity. • Decentralized finance plays an important role in Bitcoin pricing.