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Benjamin M. Blau and Ryan J. Whitby
 
''The Introduction of Bitcoin Futures: An Examination of Volatility and Potential Spillover Effects''
( 2019, Vol. 39 No.2 )
 
 
Theory in Stein (1987) suggests that introducing derivative contracts, such as futures, can destabilize underlying asset prices if the contracts attract enough speculative traders. This paper examines how the introduction of Bitcoin futures influences the underlying Bitcoin market. Consistent with Stein (1987), we find that that Bitcoin's volatility increases significantly during the post-introduction period. Perhaps more importantly, however, we observe significant spillover effects into related markets. For instance, in other cryptocurrencies, the increase in volatility in these markets is greater than the post-introduction increase in Bitcoin.
 
 
Keywords: Bitcoin Futures, Cryptocurrencies, Volatility, Bitcoin, Digital Currency
JEL: G1 - (G11, G13, G13) Portfolios, Investments, Asset and Futures Pricing, Trading Volume & Bond Interest Rates
F3 - International Finance: General
 
Manuscript Received : Oct 26 2018 Manuscript Accepted : May 02 2019

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