本文利用高頻1分鐘價格資料，探討加密貨幣期貨市場（CME）與現貨市場（Binance）之間的絕對基差（absolute basis）的動態，檢視日內價格在不同時段的週期性變化，跨市場之間的流動性拔河，以及極端市場風險衝擊下之非對稱邊際疊加效應。本文以芝加哥交易所CME期貨價格跟幣安Binance的現貨價格為樣本資料，樣本期間為2024年1月1日至2025年7月25日，共計350，917 筆1分鐘資料觀測值。實證模型考慮時間周期性與固定效應，實證結果顯示跨市場的「制度性時間摩擦」確實對24小時不間斷之加密貨幣定價過程造成顯著的摩擦成本。CME 週末休市引發之「週五效應」，以及每日結算真空期（HOUR21）所導致之「定價致盲」，皆促使造市商為規避資訊不對稱與無法對沖之風險而採取防禦性撤單，導致絕對基差擴大。另外，當 Binance 現貨交易量大於 CME的期貨交易量時，絕對基差呈現負向的收斂，證實BTC現貨市場主導跨市場之價格發現，與具有流動性優勢。本研究發現在極端風險衝擊下，基差呈現「左尾恐慌擴張、右尾狂熱收斂」之不對稱階梯式特徵。當市場面臨極端下跌（前10%、5%、1%閃崩）時，隨著跌幅加深，造市商因恐懼單邊存貨爆倉而引發流動性不對稱枯竭，導致基差呈階梯式擴大；相反地，當價格極端暴漲時，加密貨幣投資人特有之錯失恐懼症（FOMO）引起單邊的積極追價之買單，龐大流動性反而強勢地將期現貨價差強行抹平。綜上所述，本文驗證時間制度差異對資產定價的影響，發現加密貨幣具有「跌越深、摩擦越大；漲越狂、價差越小」之微結構特性。本文的研究結果，對於高頻套利者之風險控管，造市商之動態存貨決策，以及金融監管機構（如 SEC和CFTC）對於跨市場之系統性風險控管方面，皆能提供具體實務操作與政策監管上的參考。 關鍵詞： 加密貨幣；絕對基差；時間摩擦；流動性拔河；聯合尾部估計；不對稱撤單；錯失恐懼(FOMO)效應;This dissertation utilizes high-frequency one-minute data to comprehensively investigate the microstructural dynamics of the absolute basis between the regulated traditional futures market (Chicago Mercantile Exchange， CME) and the cryptocurrencies spot market (Binance). We systematically evaluate the impacts of institutional temporal frictions， cross-market liquidity tug-of-war， and asymmetric marginal overlapping effects triggered by extreme market risk shocks. The data include Bitcoin futures prices from the CME and spot prices from Binance， spanning from January 1， 2024， to July 25， 2025. Based on the final effective sample of 350，917 observations， we find that cross-market “institutional temporal frictions” introduce significant friction costs into the 24/7 continuous pricing mechanism of cryptocurrencies. The “Friday effect” induced by CME weekend closures， alongside the “pricing blindness” caused by the daily settlement vacuum period (HOUR 21)， compels market makers to execute defensive order cancellations to hedge against information asymmetry and unhedgeable risks， thereby significantly widening the absolute basis. Next， within the regular liquidity tug-of-war， when Binance spot trading volume expands significantly relative to the CME， the absolute basis exhibits a highly statistically significant negative convergence. This confirms that the crypto-native spot market dominates cross-market price discovery and maintains a liquidity premium under normal market conditions. Third， a major novel finding of this study is that under extreme risk shocks， the basis exhibits a pronounced asymmetric， stepwise overlapping feature characterized by “left-tail panic expansion and right-tail euphoria convergence.” When the market encounters extreme downturns (the top 10%， 5%， and 1% flash crashes)， the absolute basis widens in a stepwise fashion as the magnitude of the decline intensifies. This expansion occurs because market makers， fearing unilateral inventory liquidation， trigger asymmetric liquidity depletion. Conversely， during extreme surges， the unique fear-of-missing-out (FOMO) effect inherent in cryptocurrency markets drives aggressive， unilateral price-chasing buy orders， generating massive liquidity that forcefully compresses and erases the futures-spot price discrepancy. Overall， the empirical results confirm the distortions in asset pricing caused by institutional temporal discrepancies， mapping out a unique microstructural blueprint for cryptocurrencies where deeper price drops yield greater frictions， whereas wilder surges result in smaller bases. These findings offer concrete references for both practical implementation and policy oversight， particularly for risk management among high-frequency arbitragers， dynamic inventory pricing for market makers， and financial regulatory authorities (such as the SEC and CFTC) in mitigating cross-market systemic risks. Keywords: Cryptocurrency; absolute Basis; temporal frictions; liquidity tug-of-war; joint tail estimation; asymmetric order cancellation; FOMO (fear of missing out) effect
