This study examines the impact of trading activities on price discovery in the Bitcoin futures markets. We find that trades of hedgers are positively correlated with the modified information shares in both CME and CBOE futures markets, suggesting that their trading promotes futures market efficiency. Retailers’ trading activity relates negatively to the price discovery of the CME Bitcoin futures and thus destabilizes the market. Speculators exert positive (negative) impact on the price discovery in the CME (CBOE) Bitcoin futures. Our finding that CME’s Bitcoin futures exhibit superior price discovery than CBOE’s provides plausible justification for CBOE’s decision in March 2019 to suspend further listings of Bitcoin futures contracts.

这项研究检查了交易活动对比特币期货市场中价格发现的影响。我们发现，套期保值者的交易与CME和CBOE期货市场中修改后的信息份额呈正相关，这表明它们的交易提高了期货市场的效率。零售商的交易活动与CME比特币期货的价格发现负相关，从而破坏了市场的稳定。投机者对CME（CBOE）比特币期货的价格发现产生正面（负面）影响。我们的发现CME的比特币期货比CBOE的价格发现具有优势，这为CBOE在2019年3月决定进一步暂停比特币期货合约的上市提供了合理的依据。