Akyildirim, E., Corbet, S., Katsiampa, P. orcid.org/0000-0003-0477-6503 et al. (2 more authors) (2020) The development of Bitcoin futures : exploring the interactions between cryptocurrency derivatives. Finance Research Letters, 34. 101234. ISSN 1544-6123
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.
Metadata
Item Type: | Article |
---|---|
Authors/Creators: |
|
Copyright, Publisher and Additional Information: | © 2019 Elsevier. This is an author produced version of a paper subsequently published in Finance Research Letters. Uploaded in accordance with the publisher's self-archiving policy. Article available under the terms of the CC-BY-NC-ND licence (https://creativecommons.org/licenses/by-nc-nd/4.0/). |
Keywords: | Bitcoin; Cryptocurrencies; Futures markets; Volatility; Derivatives; Information share |
Dates: |
|
Institution: | The University of Sheffield |
Academic Units: | The University of Sheffield > Faculty of Social Sciences (Sheffield) > Management School (Sheffield) |
Depositing User: | Symplectic Sheffield |
Date Deposited: | 18 Sep 2019 09:44 |
Last Modified: | 16 Dec 2021 09:00 |
Status: | Published |
Publisher: | Elsevier |
Refereed: | Yes |
Identification Number: | 10.1016/j.frl.2019.07.007 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:151018 |