Bitcoin Futures-What use are they?

被引：177

作者：

Corbet, Shaen ^{[1
]}

Lucey, Brian ^{[2
]}

Peat, Maurice ^{[3
]}

Vigne, Samuel ^{[4
]}

机构：

[1] Dublin City Univ, DCU Business Sch, Dublin 9, Ireland

[2] Trinity Coll Dublin, Trinity Business Sch, Dublin 2, Ireland

[3] Univ Sydney, Business Sch, Sydney, NSW, Australia

[4] Queens Univ Belfast, Queens Management Sch, Belfast BT9 5EE, Antrim, North Ireland

来源：

ECONOMICS LETTERS | 2018年 / 172卷

关键词：

Bitcoin; Cryptocurrencies; Futures markets; Volatility; Speculative assets; Currencies; STOCK INDEX FUTURES; PRICE DISCOVERY; VOLATILITY;

D O I：

10.1016/j.econlet.2018.07.031

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Early analysis of Bitcoin concluded that it did not meet the economic conditions to be classified as a currency. Since this conclusion, interest in Bitcoin has increased substantially. We investigate whether the introduction of futures trading in Bitcoin is able to resolve the issues that stopped Bitcoin from being considered a currency. Our analysis shows that spot volatility has increased following the appearance of futures contracts, that futures contracts are not an effective hedging instrument, and that price discovery is driven by uninformed investors in the spot market. We therefore argue that the conclusion that Bitcoin is a speculative asset rather than a currency is not altered by the introduction of futures trading. (C) 2018 Elsevier B.V. All rights reserved.

引用

页码：23 / 27

页数：5

共 21 条

[1]

[Anonymous], 2018, FINANC RES LETT

[2] PRICE DISCOVERY AND INVESTOR STRUCTURE IN STOCK INDEX FUTURES [J].

Bohl, Martin T. ;

Salm, Christian A. ;

Schuppli, Michael .

JOURNAL OF FUTURES MARKETS, 2011, 31 (03) :282-306

[3] DO FUTURES LEAD PRICE DISCOVERY IN ELECTRONIC FOREIGN EXCHANGE MARKETS? [J].

Cabrera, Juan ;

Wang, Tao ;

Yang, Jian .

JOURNAL OF FUTURES MARKETS, 2009, 29 (02) :137-156

[4] Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin [J].

Cheah, Eng-Tuck ;

Fry, John .

ECONOMICS LETTERS, 2015, 130 :32-36

[5]

Choudhry T., 2003, Journal of Multinational Financial Management, V13, P171, DOI DOI 10.1016/S1042-444X(02)00042-7

[6] HEDGING PERFORMANCE AND BASIS RISK IN STOCK INDEX FUTURES [J].

FIGLEWSKI, S .

JOURNAL OF FINANCE, 1984, 39 (03) :657-669

[7]

GONZALO J, 1995, J BUS ECON STAT, V13, P27

[8]

Gulen H, 2000, J FUTURES MARKETS, V20, P661, DOI 10.1002/1096-9934(200008)20:7<661::AID-FUT3>3.0.CO

[9]

2-R

[10] ONE SECURITY, MANY MARKETS - DETERMINING THE CONTRIBUTIONS TO PRICE DISCOVERY [J].

HASBROUCK, J .

JOURNAL OF FINANCE, 1995, 50 (04) :1175-1199

← 1 2 3 →