The impact of expected and unexpected events on Bitcoin price development: Introduction of futures market and COVID-19

Emrah Çevik, Samet Gunay, Sel Dibooglu and Durmuş Çağrı Yıldırım

Finance Research Letters, 2023, vol. 54, issue C

Abstract: This study examines the impact of two critical events, the introduction of Bitcoin futures and the COVID-19 pandemic, on Bitcoin's returns and volatility. We find that the inception of Bitcoin futures (positively) impacts its returns in the spot market while no significant interaction occurs for volatilities. The pandemic does not seem to influence Bitcoin's returns or volatility, which is consistent with the notion that Bitcoin is insulated from some global economic developments. Our tests also reveal that Bitcoin spot prices dominate its futures. This information might be useful for investors in capturing trend reversals considering the order of information disseminated.

Keywords: Bitcoin futures; Bitcoin volatility; COVID-19 pandemic; Adaptive FIGARCH (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001411

DOI: 10.1016/j.frl.2023.103768

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