Ethereum futures and the efficiency of cryptocurrency spot markets

IF 2.8 3区物理与天体物理 Q2 PHYSICS, MULTIDISCIPLINARY

Physica A: Statistical Mechanics and its Applications Pub Date : 2024-10-11 DOI:10.1016/j.physa.2024.130161

Werner Kristjanpoller , Ramzi Nekhili , Elie Bouri

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Abstract

This paper examines the impact of the introduction of Ethereum futures contracts on the market efficiency of major cryptocurrency (Bitcoin, Ethereum, Ripple, Litecoin, and Dogecoin) spot prices. Using a multifractality-based approach and daily data from September 4, 2017 to February 16, 2024, the main results show a slight improvement in market efficiency. Specifically, the degree of multifractality persistence decreases, implying reduced market inefficiencies in major cryptocurrencies. The temporal linear correlation effect and thick tail effect are less pronounced post-launch. The asymmetry of the generalized Hurst exponent increases after the launch of Ethereum futures, with a higher persistence under the downward trend of cryptocurrencies noted. This downward trend emerges after the launch of Ethereum futures, coinciding with the final stage of the COVID-19 pandemic. Additional analysis shows that fat tails and temporal linear correlations are the main sources of multifractality. The results highlight the influence of introducing financial derivatives into the relatively new and volatile cryptocurrency area, which should concern traders, hedgers, investors, and regulators.

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以太坊期货和加密货币现货市场的效率

本文研究了以太坊期货合约的推出对主要加密货币（比特币、以太坊、瑞波币、莱特币和狗狗币）现货价格市场效率的影响。利用基于多分形的方法和2017年9月4日至2024年2月16日的每日数据，主要结果显示市场效率略有提高。具体来说，多分叉持续性程度降低，这意味着主要加密货币的市场效率降低。发射后，时间线性相关效应和厚尾效应不那么明显。以太坊期货推出后，广义赫斯特指数的不对称性增加，在加密货币下行趋势下的持续性更高。这种下降趋势在以太坊期货推出后出现，与 COVID-19 大流行的最后阶段相吻合。其他分析表明，肥尾和时间线性相关是多分形的主要来源。结果凸显了在相对较新且波动较大的加密货币领域引入金融衍生品的影响，交易者、套期保值者、投资者和监管者都应关注这一点。

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

Physica A: Statistical Mechanics and its Applications 物理-物理：综合

CiteScore

7.20

自引率

9.10%

发文量

852

审稿时长

6.6 months

期刊介绍： Physica A: Statistical Mechanics and its Applications Recognized by the European Physical Society Physica A publishes research in the field of statistical mechanics and its applications. Statistical mechanics sets out to explain the behaviour of macroscopic systems by studying the statistical properties of their microscopic constituents. Applications of the techniques of statistical mechanics are widespread, and include: applications to physical systems such as solids, liquids and gases; applications to chemical and biological systems (colloids, interfaces, complex fluids, polymers and biopolymers, cell physics); and other interdisciplinary applications to for instance biological, economical and sociological systems.