Did the Introduction of Bitcoin Futures Crash the Bitcoin Market at the End of 2017?
23 Pages Posted: 10 Jan 2019 Last revised: 4 Mar 2019
Date Written: February 2019
Since Bitcoin’s largest price decline and the launch of the Bitcoin futures market coincided in December 2017, there have been heated discussions about whether the launch of the futures market crashed the Bitcoin market. Taking advantage of the intraday data from Bitcoin futures trades, our study is the first to provide statistical evidence for this discussion. The introduction of Bitcoin futures could negatively affect the Bitcoin price in the short term, but it has a neutral effect in the long term. Thus, this paper empirically shows that the introduction of Bitcoin futures did not crash the Bitcoin market at the end of 2017.
Keywords: cryptocurrency, Bitcoin, futures, intraday data, vector autoregressive model
JEL Classification: G14, G12
Suggested Citation: Suggested Citation