The impacts of futures trading on volatility and volatility asymmetry of Bitcoin returns

Zhang, Chuanhai; Ma, Huan; Arkorful, Gideon Bruce; Peng, Zhe

doi:10.1016/j.irfa.2023.102497

Cited by 10 publications

(7 citation statements)

References 37 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…They bolster Bitcoin's price transparency, serving as a risk management instrument [ 14 ]. [ 15 ] further nuanced this perspective, noting the profound impacts of futures trading on the volatility dynamics of Bitcoin returns, corroborating the observations made by Ref. [ 16 ] on the effect of global price movements on the energy sector commodity during the COVID-19 pandemic and its influence on Bitcoin price movement.…”

Section: Review Of Relevant Literature and Eventsupporting

confidence: 71%

“…In a related vein [ 22 ], explored the intricate interplay between Bitcoin, social media, and the Covid-19 pandemic. Their findings reveal how Bitcoin gains prominence during global crises, highlighting its relevance in the face of widespread uncertainty dding a future-focused dimension [ 15 ], delved into the role of futures trading in influencing Bitcoin's volatility. Their analysis posits that the futures market is instrumental in driving Bitcoin's price dynamics, offering a critical lens through which to view Bitcoin's behavior in financial markets.…”

Section: Review Of Relevant Literature and Eventmentioning

confidence: 99%

See 1 more Smart Citation

The impact of index futures crash risk on bitcoin futures returns and volatility

Tang,

Lee,

Huang

et al. 2024

Heliyon

View full text Add to dashboard Cite

Section: Review Of Relevant Literature and Eventsupporting

confidence: 71%

Section: Review Of Relevant Literature and Eventmentioning

confidence: 99%

The impact of index futures crash risk on bitcoin futures returns and volatility

Tang,

Lee,

Huang

et al. 2024

Heliyon

View full text Add to dashboard Cite

“…Its development has spurred continuous innovation in digital finance, resulting in the development of blockchain technology and cryptocurrencies ( 43 ). Based on this technology, Bitcoin, proposed by Nakamoto in 2008, is the first and currently the largest and most representative cryptocurrency ( 44 ). By the end of January 2023, Bitcoin’s total market capitalization had reached nearly US $ 450 billion, accounting for approximately 42% of the market share.…”

Section: Introduction and Literature Reviewmentioning

confidence: 99%

“…By the end of January 2023, Bitcoin’s total market capitalization had reached nearly US $ 450 billion, accounting for approximately 42% of the market share. 2 Additionally, the Bitcoin futures contract (BTC) was successfully launched by the Chicago Mercantile Exchange (CME) on December 18, 2017, making a new era for Bitcoin trading ( 44 ). Numerous studies have highlighted the benefits of using Bitcoin, including improving investors’ risk–return profile ( 45 ), offering potential safe-haven characteristics ( 46 ), and enabling decentralized payment and transaction facilitation ( 27 ).…”

Section: Introduction and Literature Reviewmentioning

confidence: 99%

The COVID-19 pandemic and Bitcoin: Perspective from investor attention

Wan

Zhu

2023

Front. Public Health

View full text Add to dashboard Cite

The response of the Bitcoin market to the novel coronavirus (COVID-19) pandemic is an example of how a global public health crisis can cause drastic market adjustments or even a market crash. Investor attention on the COVID-19 pandemic is likely to play an important role in this response. Focusing on the Bitcoin futures market, this paper aims to investigate whether pandemic attention can explain and forecast the returns and volatility of Bitcoin futures. Using the daily Google search volume index for the “coronavirus” keyword from January 2020 to February 2022 to represent pandemic attention, this paper implements the Granger causality test, Vector Autoregression (VAR) analysis, and several linear effects analyses. The findings suggest that pandemic attention is a granger cause of Bitcoin returns and volatility. It appears that an increase in pandemic attention results in lower returns and excessive volatility in the Bitcoin futures market, even after taking into account the interactive effects and the influence of controlling other financial markets. In addition, this paper carries out the out-of-sample forecasts and finds that the predictive models with pandemic attention do improve the out-of-sample forecast performance, which is enhanced in the prediction of Bitcoin returns while diminished in the prediction of Bitcoin volatility as the forecast horizon is extended. Finally, the predictive models including pandemic attention can generate significant economic benefits by constructing portfolios among Bitcoin futures and risk-free assets. All the results demonstrate that pandemic attention plays an important and non-negligible role in the Bitcoin futures market. This paper can provide enlightens for subsequent research on Bitcoin based on investor attention sparked by public emergencies.

show abstract

“…Some authors analyze the domestic approach, primarily emphasizing economic problems (Alvarez et al, 2022;Cifuentes, 2019;Li et al, 2023;Nawang, Ghani, and Azmi, 2020). Many papers exclusively focus on Bitcoin as the most recognized cryptocurrency (Alvarez et al, 2022;Köchling et al, 2020;Mzoughi et al, 2022;Nouir and Hamida, 2023;Zhang et al, 2023).…”

Section: Introductionmentioning

confidence: 99%

Can Cryptocurrencies Be Feasibly Adopted as a National Currency? The Perspective of the Younger Generation

Eisenbardt,

Eisenbardt

2023

ERSJ

View full text Add to dashboard Cite

Purpose:The aim of the paper is twofold. First, it is a presentation the cryptocurrencies as an interdisciplinary issue, however raising justified concerns. Second, it is the analysis of the opinion of the young generation on the possibility of converting their national currency into cryptocurrencies. Design/methodology/approach: The survey questionnaire was used and data collected from 778 university students were statistically analyzed. The survey was conducted in Poland, a country the cryptocurrencies are treated quite neutrally, they are not banned, and at the same time, they are not a full-fledged means of payment. The opinions of Poland-based students about the possibility of cryptocurrencies adaptation as a national currency considering their experience with cryptocurrencies were taken into consideration. Findings: The results showed that only 17% of students see the possibility of cryptocurrency adaptation as a national currency whereas most of them were opposed to that idea. Significant differences were found between students who had and not had experience with cryptocurrencies and their opinions on such variables as access to cryptocurrency wallets, using cryptocurrencies as a means of payment, and willingness for undertaking activities aimed at cryptocurrencies. However, there were no differences for such variables as cryptocurrency mining as well as the period students learnt about cryptocurrencies. Generally, students who have already had experience with cryptocurrencies rated higher the possibility of cryptocurrency adaptation as a national currency and saw more chances for a such adaptation. Practical implications: The majority of students found it difficult to assess cryptocurrencies and their further development. The presumed adaptation of the cryptocurrencies can encounter two main problems, i.e., (1) there is a large group of people that have no experience with cryptocurrencies and are not interested in them, (2) the opinion and evaluation of cryptocurrencies vary significantly considering people's experience even though only younger generation were analyzed, i.e. people for whom newest technologies and solution are an inseparable part of their lives and thus they are more eager to use them. It can be assumed that for older generations these problems can act as a major limitation and barrier and thus to hinder cryptocurrency adaptation. Originality/value: This study is the first attempt to empirically test the young generation's opinion on the potential adaptation of cryptocurrencies as national currencies. The study results enrich the literature by analyzing cryptocurrencies as a phenomenon rather than an economic variable through the lens of the young generation's opinion.

show abstract

The impacts of futures trading on volatility and volatility asymmetry of Bitcoin returns

Cited by 10 publications

References 37 publications

The impact of index futures crash risk on bitcoin futures returns and volatility

The impact of index futures crash risk on bitcoin futures returns and volatility

The COVID-19 pandemic and Bitcoin: Perspective from investor attention

Can Cryptocurrencies Be Feasibly Adopted as a National Currency? The Perspective of the Younger Generation

Contact Info

Product

Resources

About