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Impact of bitcoin futures on the informational efficiency of bitcoin spot market

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  • Andrei Shynkevich

Abstract

This study examines the informational efficiency of the bitcoin spot market by evaluating the predictive power of mechanical trading rules designed to exploit price continuation. Significant return predictability is found until the introduction of bitcoin futures in December 2017. The forecasting ability of trend‐chasing trading rules declines dramatically afterwards. Although evidence suggests that the introduction of bitcoin futures has increased the informational efficiency of the bitcoin spot market, no signs of improvement in informational efficiency are found in ethereum, the second‐largest cryptocurrency—following the introduction of bitcoin futures.

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  • Andrei Shynkevich, 2021. "Impact of bitcoin futures on the informational efficiency of bitcoin spot market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(1), pages 115-134, January.
    • Handle: RePEc:wly:jfutmk:v:41:y:2021:i:1:p:115-134
    DOI: 10.1002/fut.22164
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    Cited by:

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    2. Dirk G. Baur & Lee A. Smales, 2022. "Trading behavior in bitcoin futures: Following the “smart money”," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(7), pages 1304-1323, July.
    3. Guo, Zi-Yi, 2021. "Price volatilities of bitcoin futures," Finance Research Letters, Elsevier, vol. 43(C).
    4. Ahmed, Walid M.A., 2021. "How do Islamic equity markets respond to good and bad volatility of cryptocurrencies? The case of Bitcoin," Pacific-Basin Finance Journal, Elsevier, vol. 70(C).

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