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Does the introduction of futures improve the efficiency of Bitcoin?

Author

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  • Köchling, Gerrit
  • Müller, Janis
  • Posch, Peter N.

Abstract

The introduction of futures on Bitcoin eases the access of institutional investors to the market and offers an efficient way to short the cryptocurrency. We investigate the effect of this event on the market’s price efficiency and find the Bitcoin market to turn efficient. We conduct commonly used tests for market efficiency and check the robustness of our results by investigating Bitcoin Cash, a hard fork of Bitcoin, where we do not find a change in market’s efficiency.

Suggested Citation

  • Köchling, Gerrit & Müller, Janis & Posch, Peter N., 2019. "Does the introduction of futures improve the efficiency of Bitcoin?," Finance Research Letters, Elsevier, vol. 30(C), pages 367-370.
    • Handle: RePEc:eee:finlet:v:30:y:2019:i:c:p:367-370
    DOI: 10.1016/j.frl.2018.11.006
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    References listed on IDEAS

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    More about this item

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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