Bitcoin futures: trade it or ban it?

【Author】 Shi, Shimeng; Shi, Yukun

【Source】EUROPEAN JOURNAL OF FINANCE

【影响因子】1.903

【Abstract】This paper examines the impact of South Korea's ban on Bitcoin futures on intraday spot volatility, liquidity and volatility-volume relationship. The results show that while reducing the permanent component of intraday spot volatility, the imposition of a ban on Bitcoin futures trading increases the transitory component. For intraday spot liquidity, different liquidity proxies indicate heterogeneous results. Moreover, we identify a positive and unidirectional effect of intraday spot volume on volatility. This effect appears to be stronger in the post-ban period. Overall, over the past few months, South Korea's Bitcoin futures ban generally has had a significant impact on the intraday dynamics of the Bitcoin spot market.

【Keywords】South Korea's ban on Bitcoin futures; intraday dynamics; component GARCH model

【发表时间】2019 24-Mar

【收录时间】2022-01-02

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