Bitcoin futures: trade it or ban it?

Shi, S. and Shi, Y. (2021) Bitcoin futures: trade it or ban it? European Journal of Finance, 27(4-5), pp. 381-396. (doi: 10.1080/1351847X.2019.1647865)

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Abstract

This paper examines the impact of South Korea’s ban on Bitcoin futures on intraday spot volatility, liquidity and volatility–volume relationship. The results show that while reducing the permanent component of intraday spot volatility, the imposition of a ban on Bitcoin futures trading increases the transitory component. For intraday spot liquidity, different liquidity proxies indicate heterogeneous results. Moreover, we identify a positive and unidirectional effect of intraday spot volume on volatility. This effect appears to be stronger in the post-ban period. Overall, over the past few months, South Korea’s Bitcoin futures ban generally has had a significant impact on the intraday dynamics of the Bitcoin spot market.

Item Type:Articles
Status:Published
Refereed:Yes
Glasgow Author(s) Enlighten ID:Shi, Dr Yukun
Authors: Shi, S., and Shi, Y.
College/School:College of Social Sciences > Adam Smith Business School > Accounting and Finance
Journal Name:European Journal of Finance
Publisher:Taylor and Francis
ISSN:1351-847X
ISSN (Online):1466-4364
Published Online:30 July 2019
Copyright Holders:Copyright © 2019 Informa UK Limited, trading as Taylor and Francis Group
First Published:First published in European Journal of Finance 27(4-5): 381-396
Publisher Policy:Reproduced in accordance with the publisher copyright policy

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