Informational inefficiency on bitcoin futures

【Author】 Shi, Shimeng; Zhai, Jia; Wu, Yingying

【Source】EUROPEAN JOURNAL OF FINANCE

【影响因子】1.903

【Abstract】This paper investigates the dynamics and drivers of informational inefficiency in the Bitcoin futures market. To quantify the adaptive pattern of informational inefficiency, we leverage two groups of statistics which measure long memory and fractal dimension to construct a global-local market inefficiency index. Our findings validate the adaptive market hypothesis, and the global and local inefficiency exhibits different patterns and contributions. Regarding the driving factors of the time-varying inefficiency, our results suggest that trading activity of retailers (hedgers) increases (decreases) informational inefficiency. Compared to hedgers and retailers, the role played by speculators is more likely to be affected by the COVID-19 crisis. Extremely bullish and bearish investor sentiment has more significant impact on the local inefficiency. Arbitrage potential, funding liquidity, and the pandemic exert impacts on the global and local inefficiency differently. No significant evidence is found for market liquidity and policy uncertainty related to cryptocurrency.

【Keywords】Market inefficiency; bitcoin futures; COT reports; liquidity; arbitrage

【发表时间】2023 2023 MAY 27

【收录时间】2023-06-17

【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