Informational inefficiency on bitcoin futures

Shimeng Shi*, Jia Zhai, Yingying Wu

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review


This paper investigates the dynamics and drivers of informational inefficiency in the Bitcoin futures market. To quantify the adaptive pattern of informational inefficiency, we leverage two groups of statistics which measure long memory and fractal dimension to construct a global-local market inefficiency index. Our findings validate the adaptive market hypothesis, and the global and local inefficiency exhibits different patterns and contributions. Regarding the driving factors of the time-varying inefficiency, our results suggest that trading activity of retailers (hedgers) increases (decreases) informational inefficiency. Compared to hedgers and retailers, the role played by speculators is more likely to be affected by the COVID-19 crisis. Extremely bullish and bearish investor sentiment has more significant impact on the local inefficiency. Arbitrage potential, funding liquidity, and the pandemic exert impacts on the global and local inefficiency differently. No significant evidence is found for market liquidity and policy uncertainty related to cryptocurrency.

Original languageEnglish
Pages (from-to)642-667
Number of pages26
JournalEuropean Journal of Finance
Issue number6
Publication statusPublished - May 2023


  • COT reports
  • Market inefficiency
  • arbitrage
  • bitcoin futures
  • liquidity


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