This paper adopts the fractional cointegrated vector autoregressive (FCVAR) model to examine high-frequency price discovery of bitcoin spot and futures prices from December 18, 2017 to July 31, 2020. We find that bitcoin spot and futures prices exhibit long memory properties and they are fractionally cointegrated. The result shows that the bitcoin futures market dominates the price discovery process. Interestingly, during the Covid-19 pandemic, the bitcoin price discovery leadership has switched to the spot market. Moreover, we find that the bitcoin futures market follows a long-run contango. The nonfractional CVAR model overestimates the price discovery of the futures market.

中文翻译：

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比特币现货和期货市场的分数协整

本文采用分数协整向量自回归 (FCVAR) 模型来检验 2017 年 12 月 18 日至 2020 年 7 月 31 日比特币现货和期货价格的高频价格发现。我们发现比特币现货和期货价格表现出长记忆特性，并且是分数协整的。结果表明，比特币期货市场主导了价格发现过程。有趣的是，在 Covid-19 大流行期间，比特币价格发现的领导者已转向现货市场。此外，我们发现比特币期货市场遵循长期期货溢价。非分数 CVAR 模型高估了期货市场的价格发现。