What If Bitcoin Futures Had Never Been Introduced?

46 Pages Posted: 8 Dec 2019

See all articles by Akanksha Jalan

Akanksha Jalan

ESC Rennes School of Business

Roman Matkovskyy

Rennes School of Business

Andrew Urquhart

ICMA Centre, Henley Business School

Date Written: November 21, 2019

Abstract

Bitcoin futures were introduced in December 2017 and was seen by some as a sign that the most popular cryptocurrency was being accepted by the financial community. In this paper, we examine what the Bitcoin market would look like if Bitcoin futures were never introduced. We implement a Bayesian diffusion-regression (state-space) structural time-series model that enables us to predict the counterfactual market response in a synthetic control that would have occurred had no futures market been introduced. Our results indicate that if bitcoin futures had never been introduced, the USD bitcoin spot market return and skewness would be higher, while volatility, kurtosis and liquidity would be lower. Therefore, our paper offers important insights for investors and regulators, while also providing some guidance to the potential impact of futures markets on other cryptocurrencies.

Keywords: Bitcoin Futures, Returns, Volatility, Liquidity

Suggested Citation

Jalan, Akanksha and Matkovskyy, Roman and Urquhart, Andrew, What If Bitcoin Futures Had Never Been Introduced? (November 21, 2019). Available at SSRN: https://ssrn.com/abstract=3491272 or http://dx.doi.org/10.2139/ssrn.3491272

Akanksha Jalan

ESC Rennes School of Business ( email )

Rue Robert d'arbrissel, 2
Rennes, 35000
France

Roman Matkovskyy

Rennes School of Business ( email )

Rue Robert d'arbrissel, 2
Rennes, 35000
France

Andrew Urquhart (Contact Author)

ICMA Centre, Henley Business School ( email )

University of Reading
Whiteknights
Reading, Berkshire RG6 6BA
United Kingdom

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