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; Xiaosai Liao, Institute of Chinese Financial Studies and Collaborative Innovation Center of Financial Security, Southwestern University of Finance and Economics）的论文 "Futures trading activity and the jump risk of spot market: Evidence from the bitcoin market" 在重要学术期刊Pacific-Basin Finance Journal在线发表。

Abstract:

       This paper examines the impacts of Bitcoin futures trading on the jump risk of spot market. Based on 5-min high-frequency data, we use a nonparametric method to detect Lévy-type jumps in Bitcoin and document that Bitcoin prices are subject to both big and small jumps, and the jump risk – captured by jump intensity and jump size– is time varying. We then investigate the changes of the jump risk before and after the Bitcoin futures introduction and find that both the jump intensity and jump size of big and small jumps have decreased, yet the change of the latter is insignificant. Furthermore, we examine whether greater futures trading activity, proxied by unexpected trading volume and open interest, is associated with greater jump risk in the spot market. We document that jump risk Granger-causes futures speculative trading activity while the reverse is not true, and there is no causality between futures hedging activity and jump risk.

       Keywords：Cryptocurrency; Bitcoin futures; Lévy jumps; Futures trading activity; High-frequency data

 链接：https://doi.org/10.1016/j.pacfin.2023.101950

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。