Browsing by Author "Seifulov, Zhaxylyk"

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    TESTING THE NO-ARBITRAGE PARITY CONDITIONS FOR BITCOIN SPOT AND FUTURES PRICES
    (Nazarbayev University Graduate School of Business, 2023) Seifulov, Zhaxylyk
    The study investigates the no-arbitrage parity conditions in Bitcoin spot and futures markets, focusing on the efficiency of the spot-futures (SFP) and futures spread parity (FSP) models in estimating the Bitcoin futures prices. Utilizing data from the Chicago Mercantile Exchange (CME) and Binance exchange, the research analyzes the relationship between spot and futures prices of Bitcoin, moreover, examines the relationship between intramarket Bitcoin futures contracts. The study finds that the mean pricing error of SFP is greater than FSP, indicating the greater efficiency of FSP in pricing Bitcoin futures. It also explores arbitrage opportunities by testing the equality of means of the bid-ask spread and mispricing, revealing that arbitrage opportunities are not consistently present. Few exploitable arbitrage opportunities in bullish markets are found, but overall, the arbitrage profit is not feasible when considering the costs such as bid-ask spread.