How do futures contracts affect Bitcoin prices ?

Jamal Bouoiyour () and Refk Selmi

Post-Print from HAL

Abstract: Bitcoin futures were launched by the Chicago Board of Options Exchange and the Chicago Mercantile Exchange group on December 18th, 2017. This study stands as a first attempt to explore the reactions of Bitcoin spot market to the launch of futures contracts. Using an event-study methodology and an adjusted asset pricing model, we show that Futures trading drove up the price of Bitcoin immediately after the announcement day. This reaction started to decrease noticeably following the launch of the futures contracts. Such outcome seems in line with the trading behavior that typically accompanies the launch of futures markets for an asset.

Keywords: Improved event study methodology; Bitcoin price; The lunch of future contracts (search for similar items in EconPapers)
Date: 2019-05-15
New Economics Papers: this item is included in nep-pay
Note: View the original document on HAL open archive server: https://hal.science/hal-02126234v1
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Citations: View citations in EconPapers (2)

Published in Economics Bulletin, 2019, 39 (2), pp.1127-1134

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Journal Article: How do futures contracts affect Bitcoin prices? (2019)
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