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The Effect of the Launch of Bitcoin Futures on the Cryptocurrency Market: An Economic Efficiency Approach

Author

Listed:
  • David Vidal-Tomás

    (Department of Economics, Universitat Jaume I, Campus del Riu Sec, 12071 Castellón, Spain
    These authors contributed equally to this work.)

  • Ana M. Ibáñez

    (Department of Corporate Finance, Universitat de València, Avenida de Los Naranjos S/N, 46022 Valencia, Spain
    These authors contributed equally to this work.)

  • José E. Farinós

    (Department of Corporate Finance, Universitat de València, Avenida de Los Naranjos S/N, 46022 Valencia, Spain
    These authors contributed equally to this work.)

Abstract

We analyze the economic efficiency of the cryptocurrency market after the launch of Bitcoin futures by means of the Data Envelopment Analysis and Malmquist Indexes. Our results show that the introduction of Bitcoin futures did not affect the economic efficiency of the cryptocurrency market. However, we observe that Bitcoin obtained the highest risk-return trade-off due to its liquidity compared to the rest of cryptocurrencies. Therefore, our paper underlines the support of investors on Bitcoin to the detriment of the rest of cryptocurrencies.

Suggested Citation

  • David Vidal-Tomás & Ana M. Ibáñez & José E. Farinós, 2021. "The Effect of the Launch of Bitcoin Futures on the Cryptocurrency Market: An Economic Efficiency Approach," Mathematics, MDPI, vol. 9(4), pages 1-14, February.
    • Handle: RePEc:gam:jmathe:v:9:y:2021:i:4:p:413-:d:502510
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    References listed on IDEAS

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