The development of Bitcoin futures: Exploring the interactions between cryptocurrency derivatives

【Author】 Akyildirim, Erdinc; Corbet, Shaen; Katsiampa, Paraskevi; Kellard, Neil; Sensoy, Ahmet

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】We utilise a high-frequency analysis to investigate the period surrounding the establishment of two new futures contracts based on the performance of Bitcoin. Our analysis shows that there have been significant pricing effects sourced from both fraudulent and regulatory unease within the industry. While analysing breakpoints in efficiency, we verify the view that Bitcoin futures dominate price discovery relative to spot markets. However, we add to this research by finding that CBOE futures are found to be the leading source of informational flow when compared directly to their CME equivalent.

【Keywords】Bitcoin; Cryptocurrencies; Futures markets; Volatility; Derivatives; Information share

【发表时间】2020 MAY

【收录时间】2022-01-02

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