Is there an expiration effect in the bitcoin market?

【Author】 Blasco, N.; Corredor, P.; Satrustegui, N.

【Source】INTERNATIONAL REVIEW OF ECONOMICS & FINANCE

【影响因子】3.399

【Abstract】This paper studies the monthly expiration effect in the bitcoin markets. The emergence of trading in bitcoin futures in regulated markets is an ideal occasion to test this effect on an asset with singular characteristics. Our results with intraday data show that around the time of maturity there are significant changes in the trading volume, volatility and return of bitcoin, an asset that traded in many exchanges simultaneously. Therefore, there is a clear expiration effect related bitcoin futures. The closer to the expiration time (shortly beforehand or afterwards), the more intense these effects are. However, in spite of these general results, the expiration effect is homogeneous across exchanges and depends on the characteristics of the futures contract question. Robustness tests are also applied to confirm the results. The increasing participation institutional investors is consistent with our findings, particularly in relation to the expiration effects of cash-settled futures, as these contracts are more appealing for sophisticated investors

【Keywords】Expiration effect; Bitcoin; Futures; Exchanges

【发表时间】2023 MAY

【收录时间】2023-04-11

【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