Bitcoin futures: trade it or ban it?. Issue 4 (24th March 2021)

• Record Type: Journal Article
• Authors: Shi, Shimeng; Shi, Yukun
• Is Part Of: European journal of finance. Volume 27:Issue 4/5(2021)
• Page Start: 381
• Page End: 396
• Publication Date: 2021-03-24
• Subjects: South Korea's ban on Bitcoin futures -- intraday dynamics -- component GARCH model; G12 -- G13 -- G14; Finance -- Periodicals; Finance -- Europe -- Periodicals; International finance -- Periodicals; 332.094
• DOI: 10.1080/1351847X.2019.1647865
• Languages: English
• ISSNs: 1351-847X

Abstract

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.