There is no disagreement on this point that understanding the behavior of market information across financial markets is important for measuring and estimating the risk of assets diversified portfolio. And there is also a widespread belief that it is important for asset hedging strategy, asset allocation decision, and evaluating the regulatory policies related to capital in?¬‚ow. The transmission of financial asset price information can be of enormous influence to global stock markets, therefore, a more rigorous exam of this issue could be performed.
The continuing improvements in financial technology have led to many new and fascinating applications in finance. One of the most fruitful areas of financial technology research has focused on the bitcoin transaction. Therefore, it is important to understand the information transmission of bitcoin. In view of the increasing popularity of bitcoin, central banks in many countries have begun to investigate whether bitcoin is interconnected with the real economy and is thus a viable tool for payment. The characteristics of bitcoin were considered, including the definition of the currency’s functionalities, such as its currency value in terms of transactional media, billing units, and value storage ; the assessment of the reaction of each trading platform to price information ; the analysis of bitcoin risk management, portfolio, and monetary functions ; the exploration of the impact of fundamental economic factors on the returns of bitcoin; and  the examination of the relationship between bitcoin price information and the demand for bitcoin .
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On the basis of the aforementioned research, whether bitcoin is a good financial trading tool and the influence of market information on bitcoin prices are pertinent concerns. Thus, the purposes of this study are as follows. Firstly, this study explored whether the bitcoin trading platform supports the efficiency market hypothesis and whether bitcoin can be used as a financial instrument or only by an investor in arbitrage. Therefore, from the research perspective, if a bitcoin trading platform supports the efficiency market hypothesis, then the platform’s information is completely and rapidly reflected in bitcoin’s price, and investors cannot conduct arbitrage by buying and selling bitcoin. To satisfy the efficiency market hypothesis, the current information should reflect the current price and should not be used to predict the future price. This study revealed that previous price information will not affect the current price in the same trading platform and demonstrated that previous price information does not affect the current price between different trading platforms. This indicated that there is no intertemporal price spillover effect between different platforms.
To validate the study hypothesis, seven major bitcoin transaction platforms were analyzed. The key to supporting market efficiency hypothesis lies in whether the price series is a random walk. This involves determining whether a unit root exists in the price series. Therefore, in this study, a unit root test of each Bitcoin transaction platform was conducted. Because the price of bitcoin can fluctuate and the trading platform allows continuous trading, the price of bitcoin may frequently fluctuate considerably. Therefore, in addition to the conventional augmented Dickey–Fuller (ADF) unit root test, this study also employed two methods for conducting a unit root test for data with a nonlinear structure, including the Zivot–Andrews unit root test and Kapetanios–Shin unit root test. Because the bitcoin data have a nonlinear structure, this study employed a threshold vector autoregressive (TVAR) model to verify that the price series does not result in a spillover of price information in the same trading platform or cross-trading platforms.
Secondly, the purpose of this study is to explore whether bitcoin possesses the characteristics of derivative financial products through the perspective of information transmission. In order to verify the above concept, this study uses the information sharing model proposed by Hasbrouck  to verify whether the price information of bitcoin leads the spot financial products. Then, this study uses multivariate GARCH model to verify whether bitcoin’s volatility information is also ahead of spot financial products.
The remainder of this paper is organized as follows. Section 2 presents the theoretical background. Section 3 shows the empirical analysis methods. Section 4 shows the empirical results. Section 5 concludes the paper.
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