The Impact of Derivatives on Spot Markets: Evidence from the Introduction of Bitcoin Futures Contracts

【Author】 Augustin, Patrick; Rubtsov, Alexey; Shin, Donghwa

【Source】MANAGEMENT SCIENCE

【影响因子】6.172

【Abstract】Cryptocurrencies provide a unique opportunity to identify how derivatives impact spot markets. They are fully fungible and trade across multiple spot exchanges at different prices, and futures contracts were selectively introduced on bitcoin (BTC) exchange rates against the U.S. dollar (USD) in December 2017. Following the futures introduction, we find a significantly greater increase in cross-exchange price synchronicity for BTC-USD relative to other exchange rate pairs as demonstrated by an increase in price correlations and a reduction in arbitrage opportunities and volatility. We also find support for an increase in price efficiency, market quality, and liquidity. The evidence suggests that futures contracts allowed investors to circumvent arbitrage frictions associated with short sale constraints, arbitrage risk associated with block confirmation time, and market segmentation. Overall, our analysis supports the view that the introduction of BTC-USD futures was beneficial to the bitcoin spot market by making the underlying prices more informative.

【Keywords】bitcoin; blockchain; cryptocurrencies; derivatives; fintech; regulation

【发表时间】2023 2023 AUG 28

【收录时间】2023-09-19

【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