Time-varying price discovery in regular and microbitcoin futures

We investigate the dynamic price discovery in the regular bitcoin (BTC) and microbitcoin (MBT) futures at the Chicago Mercantile Exchange. The only difference between the two bitcoin futures is the contract size, with MBT representing 1/50th of BTC. In contrast to recent findings in the literature, we find that BTC dominates MBT futures in price discovery, which can be attributed to the relative liquidity and investor structure in the BTC and MBT futures. In addition, crypto hacking activities can affect price discovery in bitcoin futures as we find higher hack stolen funds reduce (enhance) the price discovery in BTC (MBT) futures. These findings provide practical implications for bitcoin investors and regulators.

Automated summary

This study investigates the dynamic price discovery in regular bitcoin and microbitcoin futures, finding that BTC dominates in price discovery compared to MBT. Additionally, the study also reveals that crypto hacking activities can impact the price discovery in bitcoin futures.