Federal Register - August 23, 2021
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Source: Federal Register
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Federal Register / Vol. 86, No. 160 / Monday, August 23, 2021 / Notices
The Sponsor further believes that academic research corroborates the overall trend outlined above and supports the thesis that the Bitcoin
Futures pricing leads the spot market and, thus, a person attempting to manipulate the Shares would also have to trade on that market to manipulate
the ETP. Specifically, the Sponsor believes that such research indicates that bitcoin futures lead the bitcoin spot market in price formation.51
paper concludes that There exist no episodes where the Bitcoin spot markets dominates the price discovery processes with regard to Bitcoin futures.
This points to a conclusion that the price formation originates solely in the Bitcoin futures market. We can, therefore, conclude that the Bitcoin futures
markets dominate the dynamic price discovery process based upon time-varying information share measures. Overall, price discovery seems to occur in the Bitcoin futures markets rather than the underlying spot market based upon a time-varying perspective.
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51 See Hu, Y., Hou, Y. and Oxley, L. 2019.
What role do futures markets play in Bitcoin pricing? Causality, cointegration and price discovery from a time-varying perspective available at: https www.ncbi.nlm.nih.gov/pmc/
articles/PMC7481826/. This academic research
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