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The development of Bitcoin futures: Exploring the interactions between cryptocurrency derivatives


Akyildirim, Erdinc; Corbet, Shaen; Katsiampa, Paraskevi; Kellard, Neil; Sensoy, Ahmet (2020). The development of Bitcoin futures: Exploring the interactions between cryptocurrency derivatives. Finance Research Letters, 34:101234.

Abstract

We utilise a high-frequency analysis to investigate the period surrounding the establishment of two new futures contracts based on the performance of Bitcoin. Our analysis shows that there have been significant pricing effects sourced from both fraudulent and regulatory unease within the industry. While analysing breakpoints in efficiency, we verify the view that Bitcoin futures dominate price discovery relative to spot markets. However, we add to this research by finding that CBOE futures are found to be the leading source of informational flow when compared directly to their CME equivalent.

Abstract

We utilise a high-frequency analysis to investigate the period surrounding the establishment of two new futures contracts based on the performance of Bitcoin. Our analysis shows that there have been significant pricing effects sourced from both fraudulent and regulatory unease within the industry. While analysing breakpoints in efficiency, we verify the view that Bitcoin futures dominate price discovery relative to spot markets. However, we add to this research by finding that CBOE futures are found to be the leading source of informational flow when compared directly to their CME equivalent.

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Additional indexing

Item Type:Journal Article, refereed, original work
Communities & Collections:03 Faculty of Economics > Department of Banking and Finance
Dewey Decimal Classification:330 Economics
Scopus Subject Areas:Social Sciences & Humanities > Finance
Scope:Discipline-based scholarship (basic research)
Language:English
Date:May 2020
Deposited On:03 Feb 2021 08:41
Last Modified:25 Mar 2024 02:48
Publisher:Elsevier
ISSN:1544-6123
OA Status:Closed
Free access at:Publisher DOI. An embargo period may apply.
Publisher DOI:https://doi.org/10.1016/j.frl.2019.07.007
Official URL:https://www.sciencedirect.com/science/article/pii/S1544612319304714
Other Identification Number:merlin-id:20607
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