The Introduction of Bitcoin Futures: An Examination of Volatility and Potential Spillover Effects

Benjamin Blau () and Ryan Whitby ()
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Ryan Whitby: Utah State University

Economics Bulletin, 2019, vol. 39, issue 2, 1030-1038

Abstract: Theory in Stein (1987) suggests that introducing derivative contracts, such as futures, can destabilize underlying asset prices if the contracts attract enough speculative traders. This paper examines how the introduction of Bitcoin futures influences the underlying Bitcoin market. Consistent with Stein (1987), we find that that Bitcoin's volatility increases significantly during the post-introduction period. Perhaps more importantly, however, we observe significant spillover effects into related markets. For instance, in other cryptocurrencies, the increase in volatility in these markets is greater than the post-introduction increase in Bitcoin.

Keywords: Bitcoin Futures; Cryptocurrencies; Volatility; Bitcoin; Digital Currency (search for similar items in EconPapers)
JEL-codes: F3 G1 (search for similar items in EconPapers)
Date: 2019-05-02
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Citations: View citations in EconPapers (8)

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