The effects of the introduction of Bitcoin futures on the volatility of Bitcoin returns

Kim, Wonse; Lee, Junseok; Kang, Kyung‐Won

doi:10.1016/j.frl.2019.06.002

Cited by 43 publications

(22 citation statements)

References 17 publications

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“…Nowadays consumers have diverse methods to pay online: they can use credit cards, debit transactions, or (mobile) payment methods such as PayPal, Bitcoin, Samsung Pay and Google Checkout [27]- [29]. Generally, consumers usually supported more than one of these payment systems.…”

Section: Literature Reviewmentioning

confidence: 99%

Users Supporting Multiple (Mobile) Electronic Payment Systems in Online Purchases: An Empirical Study of Their Payment Transaction Preferences

2020

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The online payment for products or for the access to payment-based services can be made by means of a range of (mobile) electronic payment systems -(M)EPS. Both the industrial sector and research community, mainly World Wide Web Consortium (W3C), are working on facilitating these payment methods on Web and supporting the multiple users on how they can select the suitable (M)EPS. However, to the best of our knowledge, there were no thorough studies considering consumer's preferences when they support multiple (M)EPS. To address this issue, we have performed a survey on an international participants (n=272) aiming to (i) developed a theoretical model to determine their preferences when they are supporting more than one (M)EPS, (ii) find the most valuable option according to them and (iii) determine the surrounding conditions that support their decision to use a specific (M)EPS. The theoretical framework of this study was based on the Technology Acceptance Model (TAM). According to our statistical analysis (Chi-square test), consumers that can pay using different (M)EPS during their online payment transaction, have a preferred payment system based on its security, fees, usefulness, and ease of use as well as on their favorite Web browser for these transactions. Factor analysis was also performed to identify factors that much influence the (M)EPS. Results revealed that the factors influencing online payment preferences differ from those involved in traditional payment methods. Our findings allowed, therefore, providing practical suggestions for supporting payment processes with Web browsers and the W3C payment Application Program Interface (API).INDEX TERMS Electronic payment systems, mobile payment systems, payment preference, ease of use, perceived security, technology acceptance model (TAM).

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Section: Literature Reviewmentioning

confidence: 99%

Users Supporting Multiple (Mobile) Electronic Payment Systems in Online Purchases: An Empirical Study of Their Payment Transaction Preferences

2020

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“…In this paper, we concentrate on the introduction of Bitcoin futures and use this date as the break point for pre and post analyses to examine the determinants of the top five cryptocurrencies, namely as, Bitcoin (BTC), Ethereum (ETH), Ripple (XRP), Bitcoin Cash (BHC) and Litecoin (LTC). Regarding the effect of the introduction of Bitcoin futures, Corbet et al (2018), Liu et al (2019) and Kim et al (2019) observe a rise in the volatility, however the latter further added the information of a decline over time. Köchling et al (2018) observe that introduction of futures market contributes only to Bitcoin in informational efficiency.…”

Section: Introductionmentioning

confidence: 99%

Cryptocurrency Returns before and after the Introduction of Bitcoin Futures

Deniz

Stengos

2020

JRFM

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This paper examines the behaviour of Bitcoin returns and those of several other cryptocurrencies in the pre and post period of the introduction of the Bitcoin futures market. We use the principal component-guided sparse regression (PC-LASSO) model to analyze several sample sizes for the pre and post periods. Besides the neighbourhood of the break time, the current period is also investigated as returns start to recover after some time. Search intensity is observed to be the most important variable for Bitcoin for all periods, whereas for the other cryptocurrencies there are other variables that seem more important in the pre period, while search intensity still stands out in the post period. Furthermore, GARCH analyses suggest that search intensity increases the volatility of Bitcoin returns more in the post period than it does in the pre period. Our empirical findings suggest that the top five cryptocurrencies are substitutes before the launch of Bitcoin futures. However, this effect is lost, and moreover, there are spillover effects on altcoins during both the post and the recovery period. We find a spillover effect of the introduction of bitcoin futures on altcoins and this effect seems to persist during the recovery period.

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“…Hafner (2020) find evidence of a bubble-like behavior in Bitcoin returns and growing volatility in late 2017, suggesting it might be due to the new futures contracts and the increased media coverage during this period. Conversely, Shi (2017) finds a significant decrease in the spot volatility after the launch of CBOE contract, whereas later studies show that Bitcoin volatility increased right after the launch of CME future (Kim et al, 2020) as well as around its announcement date (Corbet et al, 2018). Interestingly, the peak reached by Bitcoin price on December 16, 2017 matched the launch of the CME future; since then and for over a year, prices have experienced a sharp decline, suggesting that the newly introduced instruments may have allowed the entrance of "pessimistic" traders willing to bet for a price drop but unable to do so until the creation of a derivative market (Hale et al, 2018).…”

Section: Introductionmentioning

confidence: 89%

Causal effect of regulated Bitcoin futures on volatility and volume

Menchetti,

Cipollini,

Mealli

2021

Preprint

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In December 2017, two leading derivative exchanges, CBOE and CME, introduced the first regulated Bitcoin futures. Our aim is estimating their causal impact on Bitcoin volatility and trading volume. Employing a new causal approach, C-ARIMA, we find that the CME future triggered an increase in both outcomes. There is also evidence of a positive volume-volatility relationship and that the effect on volatility was partially due to the higher trading volumes induced by the launch of the contract. After controlling for the effect on volumes, we find that the CME instrument caused Bitcoin volatility to increase by more than double.

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The effects of the introduction of Bitcoin futures on the volatility of Bitcoin returns

Abstract: This paper investigates the effects of the launch of Bitcoin futures on the intraday volatility of Bitcoin.

Cited by 43 publications

References 17 publications

Users Supporting Multiple (Mobile) Electronic Payment Systems in Online Purchases: An Empirical Study of Their Payment Transaction Preferences

Users Supporting Multiple (Mobile) Electronic Payment Systems in Online Purchases: An Empirical Study of Their Payment Transaction Preferences

Cryptocurrency Returns before and after the Introduction of Bitcoin Futures

Causal effect of regulated Bitcoin futures on volatility and volume

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