Bitcoin futures: trade it or ban it?

Shimeng Shi, Yukun Shi*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

11 Citations (Scopus)

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.

Original languageEnglish
Pages (from-to)381-396
Number of pages16
JournalEuropean Journal of Finance
Volume27
Issue number4-5
DOIs
Publication statusPublished - 2021
Externally publishedYes

Keywords

  • South Korea’s ban on Bitcoin futures
  • component GARCH model
  • intraday dynamics

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