数字技术与经济金融学术午餐会（第6期）

Abstract:

At the end of 2017, a Bitcoin market crash followed the introduction of Bitcoin futures from the CBOE and CME. As a result, futures introduction might be blamed for exacerbating Bitcoin price crash risk although there is little empirical evidence to support this accusation in the literature. This paper examines how futures introduction affects Bitcoin price crash risk. Using the difference-in-differences (DID) analysis, we find that the crash risk of Bitcoin, proxied by negative coefficient of skewness (NCSKEW) and down-to-up volatility (DUVOL) of the 5-minute intra-daily Bitcoin returns, decrease significantly after the Bitcoin futures introduction. We also provide several robustness checks and find that main empirical results are robust to the choice of control cryptocurrency and the sampling frequency for high frequency data. Our results suggest that Bitcoin futures introduction reduces rather than leads to Bitcoin price crash risk.

主讲人介绍：

张传海，现任中南财经政法大学金融学院讲师。威斯康星大学访问学者，厦门大学与柏林洪堡大学数量经济学联合培养博士。先后在郑州大学，武汉大学和厦门大学分别获得理学学士，理学硕士和经济学博士学位。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。其研究成果发表在经济研究，系统工程理论与实践，以及 Journal of Econometrics， Pacific-Basin Finance Journal等国内外期刊上。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。