The impact of expected and unexpected events on Bitcoin price development: Introduction of futures market and COVID-19
Yükleniyor...
Dosyalar
Tarih
2023
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Elsevier Ltd
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
This study examines the impact of two critical events, the introduction of Bitcoin futures and the COVID-19 pandemic, on Bitcoin's returns and volatility. We find that the inception of Bitcoin futures (positively) impacts its returns in the spot market while no significant interaction occurs for volatilities. The pandemic does not seem to influence Bitcoin's returns or volatility, which is consistent with the notion that Bitcoin is insulated from some global economic developments. Our tests also reveal that Bitcoin spot prices dominate its futures. This information might be useful for investors in capturing trend reversals considering the order of information disseminated. © 2023 Elsevier Inc.
Açıklama
Anahtar Kelimeler
Adaptive FIGARCH, Bitcoin futures, Bitcoin volatility, COVID-19 pandemic
Kaynak
Finance Research Letters
WoS Q Değeri
Q1
Scopus Q Değeri
Q1
Cilt
54
