What effect did the introduction of Bitcoin futures have on the Bitcoin spot market?

Jalan, A., Matkovskyy, R. and Urquhart, A. ORCID: https://orcid.org/0000-0001-8834-4243 (2021) What effect did the introduction of Bitcoin futures have on the Bitcoin spot market? European Journal of Finance, 27 (13). pp. 1251-1281. ISSN 1466-4364 doi: 10.1080/1351847X.2020.1869992

Abstract/Summary

Bitcoin futures were introduced in December 2017 and this was seen by some as a sign of the most popular cryptocurrency finally being accepted by the financial community. In this paper, we examine the impact of the introduction of Bitcoin futures on the Bitcoin spot market in terms of five characteristics - returns, volatility, skewness, kurtosis and liquidity, using a Bayesian diffusionregression (state-space) structural time-series model. Our results indicate that the introduction of bitcoin futures potentially exerted a downward impact on the USD bitcoin spot market return and skewness and an upward one on volatility, kurtosis and liquidity, which became higher after futures were introduced. Therefore, our paper offers important insights for investors and regulators, while providing some guidance as to the potential impact of futures markets on other cryptocurrencies.

Item Type	Article
URI	https://reading-clone.eprints-hosting.org/id/eprint/95214
Identification Number/DOI	10.1080/1351847X.2020.1869992
Refereed	Yes
Divisions	Henley Business School > Finance and Accounting
Publisher	Taylor and Francis
Download/View statistics	View download statistics for this item