The effects of the introduction of Bitcoin futures on the volatility of Bitcoin returns

【Author】 Kim, Wonse; Lee, Junseok; Kang, Kyungwon

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】This paper investigates the effects of the launch of Bitcoin futures on the intraday volatility of Bitcoin. Based on one-minute price data collected from five cryptocurrency exchanges, we first examine the change in realized volatility after the introduction of Bitcoin futures to investigate their aggregate effects on the intraday volatility of Bitcoin. We then analyze the effects in more detail utilizing the discrete Fourier transform. We show that although the Bitcoin market became more volatile immediately after the introduction of Bitcoin futures, over time it has become more stable than it was before the introduction.

【Keywords】Bitcoin; Bitcoin futures; Intraday volatility; Realized volatility; Discrete Fourier transform

【发表时间】2020 MAR

【收录时间】2022-01-02

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