Is there an expiration effect in the bitcoin market?
Fecha
2023Versión
Acceso abierto / Sarbide irekia
Tipo
Artículo / Artikulua
Versión
Versión publicada / Argitaratu den bertsioa
Identificador del proyecto
Impacto
|
10.1016/j.iref.2023.02.013
Resumen
This paper studies the monthly expiration effect in the bitcoin markets. The emergence of trading in bitcoin futures in regulated markets is an ideal occasion to test this effect on an asset with singular characteristics. Our results with intraday data show that around the time of maturity there are significant changes in the trading volume, volatility and return of bitcoin, an asset that is trad ...
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This paper studies the monthly expiration effect in the bitcoin markets. The emergence of trading in bitcoin futures in regulated markets is an ideal occasion to test this effect on an asset with singular characteristics. Our results with intraday data show that around the time of maturity there are significant changes in the trading volume, volatility and return of bitcoin, an asset that is traded in many exchanges simultaneously. Therefore, there is a clear expiration effect related to bitcoin futures. The closer to the expiration time (shortly beforehand or afterwards), the more intense these effects are. However, in spite of these general results, the expiration effect is not homogeneous across exchanges and depends on the characteristics of the futures contract in question. Robustness tests are also applied to confirm the results. The increasing participation of institutional investors is consistent with our findings, particularly in relation to the expiration effects of cash-settled futures, as these contracts are more appealing for sophisticated investors who could be interested in arbitrage or speculative processes. [--]
Materias
Bitcoin,
Exchanges,
Expiration effect,
Futures
Editor
Elsevier
Publicado en
International Review of Economics and Finance 85 (2023) 647–663
Departamento
Universidad Pública de Navarra. Departamento de Gestión de Empresas /
Nafarroako Unibertsitate Publikoa. Enpresen Kudeaketa Saila /
Universidad Pública de Navarra/Nafarroako Unibertsitate Publikoa. Institute for Advanced Research in Business and Economics - INARBE
Versión del editor
Entidades Financiadoras
Grant PID2019-104304GB-I00 funded by MCIN/AEI /10.13039/501100011033 https://doi.org/10.13039/501100011033 ; Grant RTI2018-093483-B-I00 funded by MCIN/AEI /10.13039/501100011033 https://doi.org/10.13039/501100011033 and by ERDF A way of making Europe; Grant S11_20R: Cembe funded by the Government of Aragon and ERDF.