The Impact of Derivatives on Cash Markets: Evidence From the Introduction of Bitcoin Futures Contracts
The Impact of Derivatives on Cash Markets: Evidence From the Introduction of Bitcoin Futures Contracts
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衍生品对现货市场的影响：来自比特币期货合约推出的证据
DOI：
10.2139/ssrn.3648406
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发表时间：
2020
期刊：
影响因子：
--
通讯作者：
Donghwa Shin
中科院分区：
文献类型：
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作者：
Patrick Augustin;Alexey Rubtsov;Donghwa Shin
加密货币提供了一个独特的机会来确定衍生品如何影响现金市场。它们在多个交易场所完全可互换，2017年12月，比特币（BTC）兑美元汇率选择性地引入了期货合约。在期货推出后，我们发现BTC-USD的跨交易所价格同步性相对于其他汇率对有了更大的提高，这可以通过价格相关性的增加和套利机会的减少来证明。我们还发现，价格效率、市场质量和流动性的提高也得到了支持。总的来说，我们的分析支持这样一种观点，即BTC-USD期货的推出有利于比特币现金市场，使基础价格更具信息性。
Cryptocurrencies provide a unique opportunity to identify how derivatives impact cash markets. They are fully fungible across multiple trading venues and futures contracts were selectively introduced on bitcoin (BTC) exchange rates against the USD in December 2017. Following the futures introduction, we find a significantly greater increase in cross-exchange price synchronicity for BTC-USD relative to other exchange rate pairs, as demonstrated by an increase in price correlations and a reduction in arbitrage opportunities. We also find support for an increase in price efficiency, market quality, and liquidity. Overall, our analysis supports the view that the introduction of BTC-USD futures was beneficial to the bitcoin cash market by making the underlying prices more informative.