期货交易活动和跳跃风险:来自比特币市场的证据

Chuanhai Zhang, Huan Ma, Xiaosai Liao
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引用次数: 1

摘要

本文考察了期货交易对比特币市场跳跃风险的影响。基于5分钟高频数据,我们采用非参数方法检测了比特币价格的lsamv型跳跃,并证明了跳跃有大跳跃和小跳跃,并且跳跃的强度和大小是时变的。然后,我们研究了比特币期货引入后这些跳跃风险指标的变化,发现大跳跃和小跳跃的跳跃大小减小,而大跳跃强度增加。此外,我们考察了更大的期货交易活动(由交易量和未平仓合约代表)是否与更大的现货市场跳跃风险相关。研究发现,期货市场的意外交易量与现货市场的跳跃风险之间存在双向因果关系。意外未平仓的格兰杰导致跳跃风险,但反向并不成立。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Futures-Trading Activity and Jump Risk: Evidence From the Bitcoin Market
This paper examines the effects of futures trading on jump risk in the Bitcoin market. Based on 5-minute high-frequency data, we use a nonparametric method to detect Lévy-type jumps in Bitcoin prices and document that there are both big and small jumps, and the intensity and size of jump are time-varying. We then investigate the changes of these jump risk measures after the Bitcoin futures introduction and find that the jump size of big and small jumps decreases while the big jump intensity increases. Furthermore, we examine whether greater futures-trading activity, proxied by trading volume and open interest, is associated with greater spot market jump risk. It is found that there exists a bidirectional causality between unexpected futures-trading volume and spot market jump risk. Unexpected open interest Granger causes jump risk, but the reverse is not true.
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