基地研究员张传海副教授与合作者（Huan Ma, School of Finance, Zhongnan University of Economics and Law; Gideon Bruce Arkorful, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University; Zhe Peng, Lazaridis School of Business and Economics, Wilfrid Laurier University）的论文 "The impacts of futures trading on volatility and volatility asymmetry of Bitcoin returns" 在重要学术期刊International Review of Financial Analysis在线发表。

  Abstract:

      The impact of Bitcoin futures introduction on the underlying Bitcoin volatility has been a controversial topic. Conflicting results had been obtained from different sample periods and methodologies. To address this debate, this study examines the impact of futures trading on volatility and volatility asymmetry of Bitcoin returns in the short and long run. Using exponential GARCH models, we introduce a dummy in the variance equation to capture the changes in the volatility after the introduction of Bitcoin futures. We find that after the introduction, spot return volatility decreases in the short run, but increases in the long run. Besides, in the short run, there exists an inverse leverage effect before and after the introduction; in the long run, the inverse leverage effect before the introduction changes to a usual level effect after the introduction. Finally, we examine whether greater futures trading activity, proxied by trading volume and open interest, is associated with greater Bitcoin volatility. To do so, we decompose each proxy into expected and unexpected components and document that, in the long run, Bitcoin volatility covaries positively with unexpected futures trading volume, but negatively with unexpected futures open interest.

        Keywords：Bitcoin; Futures-trading activity; Volatility; Asymmetry; GARCH models

 链接：https://doi.org/10.1016/j.irfa.2023.102497

教师简介

  张传海，数量经济学博士，中南财经政法大学金融学院副教授。主要研究领域为金融市场、金融计量和金融风险以及金融科技与大数据，研究论文发表于：经济研究、系统工程理论与实践、管理工程学报、数理统计与管理、Journal of Econometrics、Quantitative Finance、Pacific-Basin Finance Journal、Finance Research Letters、International Review of Financial Analysis和Economic Modelling等国内外期刊。