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What effect did the introduction of Bitcoin futures have on the Bitcoin spot market?

Jalan, A., Matkovskyy, R. and Urquhart, A. ORCID: (2021) What effect did the introduction of Bitcoin futures have on the Bitcoin spot market? European Journal of Finance, 27 (13). pp. 1251-1281. ISSN 1466-4364

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To link to this item DOI: 10.1080/1351847X.2020.1869992


Bitcoin futures were introduced in December 2017 and this was seen by some as a sign of the most popular cryptocurrency finally being accepted by the financial community. In this paper, we examine the impact of the introduction of Bitcoin futures on the Bitcoin spot market in terms of five characteristics - returns, volatility, skewness, kurtosis and liquidity, using a Bayesian diffusionregression (state-space) structural time-series model. Our results indicate that the introduction of bitcoin futures potentially exerted a downward impact on the USD bitcoin spot market return and skewness and an upward one on volatility, kurtosis and liquidity, which became higher after futures were introduced. Therefore, our paper offers important insights for investors and regulators, while providing some guidance as to the potential impact of futures markets on other cryptocurrencies.

Item Type:Article
Divisions:Henley Business School > ICMA Centre
ID Code:95214
Publisher:Taylor and Francis


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