Jean-François Carpantier : jean-francois.carpantier[at]univ-amu.fr
Eric Girardin : eric.girardin[at]univ-amu.fr
We examine the relationship between price discovery contributions of three cryptocurrency exchanges and their noise levels using high frequency data. We document a strong correlation between an exchange’s the relative noise level and the standard measures for price discovery. When implementing the information leadership share proposed by Putnin, š , which reduces the potential bias caused by noise avoidance, the informational leadership of Bitfinex and Kraken in comparison to those of Poloniex reduce substantially, presumably due to the higher relative noise level on Poloniex. Our results highlight the importance of accounting for different levels of noise, when evaluating price discovery contributions.