The connectedness and risk spillovers between bitcoin spot and futures markets: evidence from intraday data

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dc.authoridBuğan, Mehmet Fatih/0000-0001-9027-9532
dc.authoridÇevik, Emrah İsmail/0000-0002-8155-1597
dc.authorscopusid26653963900
dc.authorscopusid56485578100
dc.authorscopusid57197830031
dc.authorscopusid8873464300
dc.authorwosidBuğan, Mehmet Fatih/L-5579-2019
dc.contributor.authorÇevik, Emrah İsmail
dc.contributor.authorGünay, Samet
dc.contributor.authorBuğan, Mehmet Fatih
dc.contributor.authorDibooğlu, Sel
dc.date.accessioned2023-04-20T08:01:13Z
dc.date.available2023-04-20T08:01:13Z
dc.date.issued2022
dc.departmentFakülteler, İktisadi ve İdari Bilimler Fakültesi, İktisat Bölümü
dc.description.abstractThis paper examines the dynamic relation between Bitcoin spot and futures markets during the Covid-19 pandemic. Using hourly data from 2020 combined with quantile impulse response analysis and predictability in the distribution test, we attempt to ascertain whether spot or futures markets lead in the price discovery process under a variety of market conditions. Granger predictability based on the left tail, the right tail, and the center of the distribution show bidirectional predictability between spot and futures markets suggesting significant feedback effects following normal and extreme gains/losses where neither market dominates in price discovery. Using a CAViaR model and the associated impulse response functions with estimates for dynamic tail dependence, we document spillovers between quantiles of spot and futures returns. Estimates of impulse response functions at various risk levels show the futures market has an edge in influencing the spot market and figures more prominently in the price discovery process.
dc.identifier.doi10.1007/s10479-022-04971-2
dc.identifier.issn0254-5330
dc.identifier.issn1572-9338
dc.identifier.pmid36124051
dc.identifier.scopus2-s2.0-85138159203
dc.identifier.scopusqualityQ1
dc.identifier.urihttps://doi.org/10.1007/s10479-022-04971-2
dc.identifier.urihttps://hdl.handle.net/20.500.11776/10806
dc.identifier.wosWOS:000854708700001
dc.identifier.wosqualityQ1
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakScopus
dc.indekslendigikaynakPubMed
dc.institutionauthorÇevik, Emrah İsmail
dc.language.isoen
dc.publisherSpringer
dc.relation.ispartofAnnals of Operations Research
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccess
dc.subjectBitcoin Returns
dc.subjectCryptocurrencies
dc.subjectFutures Markets
dc.subjectRisk Spillovers
dc.subjectInformation Flows
dc.subjectLead-Lag Relationship
dc.subjectValue-At-Risk
dc.subjectPrice Discovery
dc.subjectVolatility Spillover
dc.subjectIndex Futures
dc.subjectStock
dc.subjectExchange
dc.subjectModels
dc.subjectDeterminants
dc.subjectDependence
dc.titleThe connectedness and risk spillovers between bitcoin spot and futures markets: evidence from intraday data
dc.typeArticle

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