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The Effects of the Introduction of Bitcoin Futures on the Volatility of Bitcoin Returns

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  • Wonse Kim
  • Junseok Lee
  • Kyungwon Kang

Abstract

This paper investigates the effects of the launch of Bitcoin futures on the intraday volatility of Bitcoin. Based on one-minute price data collected from four cryptocurrency exchanges, we first examine the change in realized volatility after the introduction of Bitcoin futures to investigate their aggregate effects on the intraday volatility of Bitcoin. We then analyze the effects in more detail utilizing the discrete Fourier transform. We show that although the Bitcoin market became more volatile immediately after the introduction of Bitcoin futures, over time it has become more stable than it was before the introduction.

Suggested Citation

  • Wonse Kim & Junseok Lee & Kyungwon Kang, 2019. "The Effects of the Introduction of Bitcoin Futures on the Volatility of Bitcoin Returns," Papers 1906.03430, arXiv.org.
    • Handle: RePEc:arx:papers:1906.03430
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    File URL: http://arxiv.org/pdf/1906.03430
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    Cited by:

    1. Virginie Terraza & Aslı Boru İpek & Mohammad Mahdi Rounaghi, 2024. "The nexus between the volatility of Bitcoin, gold, and American stock markets during the COVID-19 pandemic: evidence from VAR-DCC-EGARCH and ANN models," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-34, December.
    2. Pinar Deniz & Thanasis Stengos, 2020. "Cryptocurrency Returns before and after the Introduction of Bitcoin Futures," JRFM, MDPI, vol. 13(6), pages 1-21, June.
    3. Lyócsa, Štefan & Molnár, Peter & Plíhal, Tomáš & Širaňová, Mária, 2020. "Impact of macroeconomic news, regulation and hacking exchange markets on the volatility of bitcoin," Journal of Economic Dynamics and Control, Elsevier, vol. 119(C).
    4. Ahmed Jeribi & Mohamed Fakhfekh, 2021. "Portfolio management and dependence structure between cryptocurrencies and traditional assets: evidence from FIEGARCH-EVT-Copula," Journal of Asset Management, Palgrave Macmillan, vol. 22(3), pages 224-239, May.

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