The connectedness and risk spillovers between bitcoin spot and futures markets: evidence from intraday data

【Author】 Cevik, Emrah Ismail; Gunay, Samet; Bugan, Mehmet Fatih; Dibooglu, Sel

【Source】ANNALS OF OPERATIONS RESEARCH

【影响因子】4.820

【Abstract】This paper examines the dynamic relation between Bitcoin spot and futures markets during the Covid-19 pandemic. Using hourly data from 2020 combined with quantile impulse response analysis and predictability in the distribution test, we attempt to ascertain whether spot or futures markets lead in the price discovery process under a variety of market conditions. Granger predictability based on the left tail, the right tail, and the center of the distribution show bidirectional predictability between spot and futures markets suggesting significant feedback effects following normal and extreme gains/losses where neither market dominates in price discovery. Using a CAViaR model and the associated impulse response functions with estimates for dynamic tail dependence, we document spillovers between quantiles of spot and futures returns. Estimates of impulse response functions at various risk levels show the futures market has an edge in influencing the spot market and figures more prominently in the price discovery process.

【Keywords】Bitcoin returns; Cryptocurrencies; Futures markets; Risk spillovers; Information flows

【发表时间】

【收录时间】2022-09-28

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-市场分析