Did the introduction of Bitcoin futures crash the Bitcoin market at the end of 2017?

【Author】 Hattori, Takahiro; Ishida, Ryo

【Source】NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE

【影响因子】3.136

【Abstract】At the end of 2017, the Bitcoin price dropped significantly by approximately 70% over the two months. Since the introduction of Bitcoin futures coincided with this market crash, it is said that the new financial instrument might have caused the market crash. The literature states that the futures enabled investors to easily take a short position and hypothesizes that the selling pressure from futures could have potentially crashed the Bitcoin market. To evaluate this assumption, we investigate the empirical relationship between futures trading and the Bitcoin price by using high-frequency data. We find that Bitcoin futures trading was not significantly related to the returns on Bitcoin futures and spot returns. Therefore, we conclude that Bitcoin futures did not lead to the crash of the Bitcoin market at the end of 2017.

【Keywords】Cryptocurrency; Bitcoin; Futures; Intraday data; Limit to arbitrage; Vector autoregressive model

【发表时间】2021 APR

【收录时间】2022-01-02

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