The Impact of Futures Trading on Intraday Spot Volatility and Liquidity: Evidence from Bitcoin Market

15 Pages Posted: 4 Jan 2018

See all articles by Shimeng Shi

Shimeng Shi

Durham Business School; Curtin University - Curtin Business School - Sarawak Campus

Date Written: December 29, 2017

Abstract

This study uses high-frequency data to examine the impact of Bitcoin futures trading on volatility and liquidity of the Bitcoin spot market. The introduction of futures trading significantly reduces the spot price variations. The spot market becomes more liquid in the post-futures trading period. The results are robust to different volatility and liquidity proxies. Hence, at least within a short period, Bitcoin futures trading plays a positive role in stabilising the spot price volatility and improving the spot market liquidity.

Keywords: Bitcoin; Futures Trading; Volatility; Liquidity; High-Frequency Data

JEL Classification: G12; G13; G14

Suggested Citation

Shi, Shimeng, The Impact of Futures Trading on Intraday Spot Volatility and Liquidity: Evidence from Bitcoin Market (December 29, 2017). Available at SSRN: https://ssrn.com/abstract=3094647 or http://dx.doi.org/10.2139/ssrn.3094647

Shimeng Shi (Contact Author)

Durham Business School ( email )

Mill Hill Lane
Durham, Durham DH1 3LB
United Kingdom

Curtin University - Curtin Business School - Sarawak Campus ( email )

CDT 250, School of Business,
Curtin University Sarawak Malaysia
CDT 250 98009 Miri, Sarawak 98009
Malaysia

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