When the Tail Wags the Dog: A Time‐Varying FCVAR Analysis of Bitcoin Market
使用时变分数协整向量自回归模型，研究比特币现货与期货市场关系随时间的变化，发现期货主导价格发现（驱动80%永久价格变动），调整缓慢且存在长期记忆效应，高波动时易出现升水。
ABSTRACT This paper examines how the relationship between Bitcoin spot and futures markets has evolved using a time‐varying Fractionally Cointegrated Vector Autoregressive (FCVAR) model. We are the first to apply this methodology dynamically to cryptocurrency markets, allowing us to simultaneously analyze long‐run equilibrium, pricing patterns, market efficiency, and price discovery as they change over time. We document three main results. Bitcoin futures dominate price discovery, driving 80% of permanent price movements and highlighting how regulated derivative markets lead information flow. The adjustment between spot and futures prices occurs slowly and persistently, showing long‐memory effects that suggest only partial market efficiency. Finally, while these markets typically maintain parity, we frequently observe contango during periods of high volatility, market optimism, or speculative activity. Our approach offers a comprehensive framework for understanding how digital asset prices form, providing valuable insights for market participants and regulators about the role of institutional infrastructure in cryptocurrency markets.