Document Type
Article
Journal/Book Title/Conference
Economics Bulletin
Volume
39
Issue
2
Publisher
Economics Bulletin
Publication Date
5-2-2019
First Page
1
Last Page
10
Abstract
Theory in Stein (1987) suggests that introducing derivative contracts, such as futures, can destabilize underlying asset prices if the contracts attract enough speculative traders. This paper examines how the introduction of Bitcoin futures influences the underlying Bitcoin market. Consistent with Stein (1987), we find that that Bitcoin's volatility increases significantly during the post-introduction period. Perhaps more importantly, however, we observe significant spillover effects into related markets. For instance, in other cryptocurrencies, the increase in volatility in these markets is greater than the post-introduction increase in Bitcoin.
Recommended Citation
Benjamin M. Blau & Ryan J. Whitby, 2019. "The Introduction of Bitcoin Futures: An Examination of Volatility and Potential Spillover Effects," Economics Bulletin, Economics Bulletin, vol. 39(2), pages 1030-1038.
