The impact of expected and unexpected events on Bitcoin price development: Introduction of futures market and COVID-19

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dc.authorscopusid26653963900
dc.authorscopusid56485578100
dc.authorscopusid8873464300
dc.authorscopusid56127310200
dc.contributor.authorÇevik, Emrah İsmail
dc.contributor.authorGünay, Samet
dc.contributor.authorDibooğlu, Sel
dc.contributor.authorYıldırım, Durmuş Çağrı
dc.date.accessioned2023-05-06T17:22:07Z
dc.date.available2023-05-06T17:22:07Z
dc.date.issued2023
dc.departmentFakülteler, İktisadi ve İdari Bilimler Fakültesi, İktisat Bölümü
dc.description.abstractThis 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.
dc.identifier.doi10.1016/j.frl.2023.103768
dc.identifier.issn1544-6123
dc.identifier.scopus2-s2.0-85151412787
dc.identifier.scopusqualityQ1
dc.identifier.urihttps://doi.org/10.1016/j.frl.2023.103768
dc.identifier.urihttps://hdl.handle.net/20.500.11776/12032
dc.identifier.volume54
dc.identifier.wosWOS:000983584700001
dc.identifier.wosqualityQ1
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakScopus
dc.institutionauthorÇevik, Emrah İsmail
dc.institutionauthorYıldırım, Durmuş Çağrı
dc.language.isoen
dc.publisherElsevier Ltd
dc.relation.ispartofFinance Research Letters
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccess
dc.subjectAdaptive FIGARCH
dc.subjectBitcoin futures
dc.subjectBitcoin volatility
dc.subjectCOVID-19 pandemic
dc.titleThe impact of expected and unexpected events on Bitcoin price development: Introduction of futures market and COVID-19
dc.typeArticle

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