基地研究员张传海博士合作的题为《Does Bitcoin futures trading reduce the normal and jump volatility in the spot market? Evidence from GARCH-jump models》的论文在《Finance Research Letters》上在线发表。

Abstract: This paper investigates how Bitcoin futures introduction affects Bitcoin's normal and jump volatility over time. Using GARCH-jump models, we find Bitcoin's normal and jump volatility increase in the short run, move in opposing directions in the mid run, and decrease in the long run. Besides, we examine whether futures trading activity, proxied by unexpected trading volume and open interest, is associated with Bitcoin volatility. We document that Bitcoin's normal and jump volatility covary positively with unexpected trading volume in the short and mid run. Meanwhile, both volatility covary positively (negatively) with unexpected open interest in the short (mid) run.

Keywords：Bitcoin;Bitcoin futures;Futures trading activity;Jump risk;GARCH-jump models

论文链接：https://www.sciencedirect.com/science/article/pii/S1544612322000903

教师简介

张传海，现任中南财经政法大学金融学院讲师。研究兴趣主要包括金融市场，金融计量，金融风险管理，金融科技和大数据等。在《经济研究》，《系统工程理论与实践》，《Journal of Econometrics》，《Quantitative Finance》以及《Pacific-Basin Finance Journal》等国内外期刊上发表文章近10篇。主持并参与多项国家自然科学基金、国家社会科学基金以及教育部人文社会科学研究基金等研究项目。