Is the introduction of futures responsible for the crash of Bitcoin?

Ruozhou Liu, Shanfeng Wan, Zili Zhang and Xuejun Zhao

Finance Research Letters, 2020, vol. 34, issue C

Abstract: The price of Bitcoin reached its peak a mere few days after the introduction of Bitcoin futures and suffered an 80% loss in the following year. In this paper, we find a significant and negative relationship between the introduction of Bitcoin futures and Bitcoin returns, and an insignificant or positive relationship for other 7 major non-Bitcoin cryptocurrencies. Within the first 45 days after the futures launch, Bitcoin suffered a –26.50% loss, while other cryptocurrencies could still provide positive returns. We presume that the launch of Bitcoin futures was to an extent responsible for the crash of Bitcoin.

Keywords: Bitcoin; Cryptocurrencies; Bitcoin futures; Market crash (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (16)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:34:y:2020:i:c:s1544612319302211

DOI: 10.1016/j.frl.2019.08.007

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