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.

本数据集包含从2017年12月12日至2018年5月16日的比特币期货价格与现货价格每日数据（共124个观察值）。在比特币现货价格方面，我们采用CoinDesk比特币美元价格指数，该指数是全球比特币/美元交易所价格的简单平均值，表示为符合最低交易量、交易额及其他特定标准的多个全球交易所的买卖价差的中间值。对于比特币期货价格，我们采用芝加哥商业交易所集团（CME）与芝加哥商品交易所（CBOT）的合约。相较于芝加哥期权交易所（CBOE）的合约，我们更倾向于使用CME合约的原因在于数据的可获得性。现货价格与期货价格的数据集均公开可获取。我们采用到期日期最近的期货合约，并在前一期货合约的第二至最后交易日滚动至下一期货合约。对于既无现货价格也无期货价格的数据，均从数据集中排除。比特币现货价格每日均有更新，而比特币期货仅在工作日进行交易。因此，我们仅选取两个价格系列均可用之日。