Data for: An analysis of price discovery between Bitcoin futures and spot markets

Published: 3 November 2018| Version 1 | DOI: 10.17632/h9x5z5yg9s.1
Jose Olmo


Excel file with daily data on futures and spot prices on Bitcoin from 12 December 2017 to 16 May 2018 (124 daily observations). For Bitcoin spot price, we use Coindesk Bitcoin USD Price Index, a simple average of global Bitcoin/USD exchange prices. It is expressed as the midpoint of the bid/ask spread across a number of global exchanges meeting certain minimum criteria with regard to minimum trade size, trading volume and others. For Bitcoin Future Price, we use Chicago Merchantile Exchange & Chicago Board of Trade (CME) contracts. The reason for preferring CME contracts over CBOE contracts is due to data availability. Both spot and future price datasets are publicly available. We use the futures contract closest to maturity and roll to the next future on the second-to-last trading day of the preceding future. Days for which neither spot nor futures prices are available are excluded from the dataset. Bitcoin spot prices are available every day, but Bitcoin Futures are traded only during weekdays. Hence, we use only days where both series of prices are available.



Empirical Finance