 What effect did the introduction of Bitcoin futures have on the Bitcoin spot market?Akanksha Jalan,
Roman Matkovskyy and
Andrew Urquhart
Post-Print from HAL Abstract: 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 diffusion-regression (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. Keywords: bitcoin futures; returns; volatility; liquidity (search for similar items in EconPapers) Published in European Journal of Finance, 2021, 27 (13), pp.1251-1281. ⟨10.1080/1351847X.2020.1869992⟩ There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-03417218 DOI: 10.1080/1351847X.2020.1869992 Access Statistics for this paper More papers in Post-Print from HAL |
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