Data for: An analysis of price discovery between Bitcoin futures and spot markets

Excel file with daily data on futures and spot prices on Bitcoin from 12 December 2017 to 16 May 2018 (124 daily observations).

For Bitcoin spot price, we use Coindesk Bitcoin USD Price Index, a simple average of global Bitcoin/USD exchange prices. It is expressed as the midpoint of the bid/ask spread across a number of global exchanges meeting certain minimum criteria with regard to minimum trade size, trading volume and others. For Bitcoin Future Price, we use Chicago Merchantile Exchange & Chicago Board of Trade (CME) contracts. The reason for preferring CME contracts over CBOE contracts is due to data availability. Both spot and future price datasets are publicly available.

We use the futures contract closest to maturity and roll to the next future on the second-to-last trading day of the preceding future. Days for which neither spot nor futures prices are available are excluded from the dataset. Bitcoin spot prices are available every day, but Bitcoin Futures are traded only during weekdays. Hence, we use only days where both series of prices are available.

本数据集为2017年12月12日至2018年5月16日期间比特币期货与现货价格的日度数据，共计124条日度观测样本。针对比特币现货价格，本研究采用CoinDesk比特币美元价格指数（Coindesk Bitcoin USD Price Index），该指数为全球比特币兑美元汇率的简单算术平均值，其取值为覆盖多家满足最低交易规模、交易量等若干最低准入标准的全球交易所的买卖价差中点。对于比特币期货价格，本研究采用芝加哥商业交易所（Chicago Merchantile Exchange）与芝加哥期货交易所（Chicago Board of Trade，CME）合约。相较于芝加哥期权交易所（CBOE）合约，本研究选择CME合约的原因在于其数据可得性。现货与期货价格数据集均为公开可获取的资源。本研究选取到期日最近的期货合约，并于前一合约的倒数第二个交易日切换至下一期期货合约。既无现货价格也无期货价格的交易日将被从数据集中剔除。比特币现货价格每日均可获取，但比特币期货仅在工作日进行交易，因此本数据集仅保留两类价格均有记录的交易日。