The Bitcoin volume-volatility relationship: A high frequency analysis of futures and spot exchanges

被引：7
作者：
Conlon, Thomas [1 ]
Corbet, Shaen [2 ,3 ]
Mcgee, Richard J. [1 ]
机构：
[1] Univ Coll Dublin, Smurfit Grad Sch Business, Dublin, Ireland
[2] Dublin City Univ, DCU Business Sch, Dublin, Ireland
[3] Univ Waikato, Sch Accounting Finance & Econ, Waikato, New Zealand
来源：
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS | 2024年 / 91卷
关键词：
Financial services; Bitcoin futures; Realised volatility; Trading volume; CME BRR x; CME BRR; Governance and risk; PRICE DISCOVERY; TRADING ACTIVITY; MARKET;
D O I：
10.1016/j.irfa.2023.103013
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We examine the volume-volatility relationship across Bitcoin futures and spot markets, using daily realised volatility measures estimated from high frequency intraday data. We estimate realised spot volatility across five major exchanges using both the standard volume weighted price and using a new approach, inspired by the CME Bitcoin Reference Rate methodology. We find that unexpected trading volume is the most important explanatory variable for BRR spot volatility, explaining 20% of variation in price volatility at exchange level. Conversely, we find that both expected and unexpected CME Bitcoin futures volumes play a very limited or even calming role in systemic volatility. Our findings suggest that CME Bitcoin futures are not independently contributing to systemic risk in Bitcoin over the period studied.
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页数：11
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