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

See all articles by Takahiro Hattori

Takahiro Hattori

Ministry of Finance - Japan

Ryo Ishida

Ministry of Finance - Japan - Policy Research Institute

Date Written: February 2019

Abstract

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

Hattori, Takahiro and Ishida, Ryo, Did the Introduction of Bitcoin Futures Crash the Bitcoin Market at the End of 2017? (February 2019). Available at SSRN: https://ssrn.com/abstract=3307977 or http://dx.doi.org/10.2139/ssrn.3307977

Takahiro Hattori (Contact Author)

Ministry of Finance - Japan ( email )

3-1-1 Kasumigaseki
Chiyoda-ku
Tokyo, 100-8940
Japan

Ryo Ishida

Ministry of Finance - Japan - Policy Research Institute ( email )

Kasumigaseki Chiyoda-ku
3-1-1
Tokyo, 100-8940
Japan

Register to save articles to
your library

Register

Paper statistics

Downloads
153
rank
187,999
Abstract Views
510
PlumX Metrics