{"title":"衍生品和现货市场净购买压力之间的相互关系","authors":"Bao Doan, Duc Hong Vo","doi":"10.1016/j.bar.2025.101702","DOIUrl":null,"url":null,"abstract":"We investigate the interconnection between net buying pressure, proxied by the order imbalance, in derivatives, including futures and options, and spot markets. This study focuses on two main types of cryptocurrencies, Bitcoin and Ethereum, using the hourly data from January 2019 to December 2022. We find that the order imbalance in the spot or futures market improves the return and volatility predictive powers of order imbalance in the options market and vice versa, depending on option moneyness and cryptocurrency. The cross-market impact results are consistent with the intraday pattern of high liquidity-more informative price in underlying market and driven by the market sentiments.","PeriodicalId":501001,"journal":{"name":"The British Accounting Review","volume":"23 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2025-07-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"The Interconnection between Net Buying Pressures in Derivatives and Spot Markets\",\"authors\":\"Bao Doan, Duc Hong Vo\",\"doi\":\"10.1016/j.bar.2025.101702\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"We investigate the interconnection between net buying pressure, proxied by the order imbalance, in derivatives, including futures and options, and spot markets. This study focuses on two main types of cryptocurrencies, Bitcoin and Ethereum, using the hourly data from January 2019 to December 2022. We find that the order imbalance in the spot or futures market improves the return and volatility predictive powers of order imbalance in the options market and vice versa, depending on option moneyness and cryptocurrency. The cross-market impact results are consistent with the intraday pattern of high liquidity-more informative price in underlying market and driven by the market sentiments.\",\"PeriodicalId\":501001,\"journal\":{\"name\":\"The British Accounting Review\",\"volume\":\"23 1\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2025-07-09\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"The British Accounting Review\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1016/j.bar.2025.101702\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"The British Accounting Review","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1016/j.bar.2025.101702","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
The Interconnection between Net Buying Pressures in Derivatives and Spot Markets
We investigate the interconnection between net buying pressure, proxied by the order imbalance, in derivatives, including futures and options, and spot markets. This study focuses on two main types of cryptocurrencies, Bitcoin and Ethereum, using the hourly data from January 2019 to December 2022. We find that the order imbalance in the spot or futures market improves the return and volatility predictive powers of order imbalance in the options market and vice versa, depending on option moneyness and cryptocurrency. The cross-market impact results are consistent with the intraday pattern of high liquidity-more informative price in underlying market and driven by the market sentiments.
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