How do futures contracts affect Bitcoin prices ?

Jamal Bouoiyour (1, 2) , Refk Selmi (2, 1)

1 CATT - Centre d'Analyse Théorique et de Traitement des données économiques
2 IRMAPE - Institut de Recherche en Management et Pays Emergents

Bitcoin futures were launched by the Chicago Board of Options Exchange and the Chicago Mercantile Exchange group on December 18th, 2017. This study stands as a first attempt to explore the reactions of Bitcoin spot market to the launch of futures contracts. Using an event-study methodology and an adjusted asset pricing model, we show that Futures trading drove up the price of Bitcoin immediately after the announcement day. This reaction started to decrease noticeably following the launch of the futures contracts. Such outcome seems in line with the trading behavior that typically accompanies the launch of futures markets for an asset.

Mots clés: Improved event study methodology; Bitcoin price; The lunch of future contracts

Domaines: Économie et finance quantitative [q-fin]; Economies et finances

Jamal Bouoiyour, Refk Selmi. How do futures contracts affect Bitcoin prices ?. Economics Bulletin, 2019, 39 (2), pp.1127-1134. ⟨hal-02126234⟩