The Impacts of Futures Introduction on Spot Market Volatility: Evidence from the Bitcoin Market

ERN: Futures (Topic) Pub Date : 2021-08-12 DOI:10.2139/ssrn.3903735

Chuanhai Zhang, Huan Ma, Gideon Bruce Arkorful, Zhe Peng

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引用次数: 2

Abstract

The impact of Bitcoin futures introduction on the underlying Bitcoin volatility has been a controversial topic. Conflicting results had been obtained with different sample periods and methodologies. To address this debate, this study examines the impacts of Bitcoin futures trading on spot market volatility in the short and long run. Using exponential GARCH model, we introduce a dummy in the variance equation to capture the changes in the volatility before and after the introduction of Bitcoin futures. We find that after Bitcoin futures introduction, spot return volatility decreases in the short run, but increases in the long run. Besides, in the short run, there exists an inverse leverage effect before and after the introduction of futures; in the long run, it changes from an inverse leverage effect to a usual leverage effect. Finally, we examine whether greater futures trading activity, including volume and open interest, is associated with greater Bitcoin volatility. To do so, we decompose each proxy for trading activity into expected and unexpected components and document that Bitcoin volatility covaries positively with unexpected futures trading volume, but negatively related to forecastable futures trading volume.

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期货引入对现货市场波动的影响:来自比特币市场的证据

比特币期货的引入对比特币潜在波动的影响一直是一个有争议的话题。不同的取样周期和方法得到了相互矛盾的结果。为了解决这一争论，本研究考察了比特币期货交易在短期和长期对现货市场波动的影响。使用指数GARCH模型，我们在方差方程中引入一个假人来捕捉比特币期货引入前后的波动率变化。我们发现，比特币期货引入后，现货收益波动率在短期内下降，但在长期内上升。此外，在短期内，期货引入前后存在逆杠杆效应;从长期来看，它从逆杠杆效应转变为通常的杠杆效应。最后，我们研究了更大的期货交易活动，包括交易量和未平仓合约，是否与更大的比特币波动有关。为此，我们将交易活动的每个代理分解为预期和意外组件，并证明比特币波动性与意外期货交易量呈正相关，但与可预测的期货交易量负相关。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

ERN: Futures (Topic)

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