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In December 2017, two leading derivative exchanges, CBOE and CME, introducedthe first regulated Bitcoin futures. Our aim is estimating their causal impacton Bitcoin volatility and trading volume. Employing a new causal approach,C-ARIMA, we find that the CME future triggered an increase in both outcomes.There is also evidence of a positive volume-volatility relationship and thatthe effect on volatility was partially due to the higher trading volumesinduced by the launch of the contract. After controlling for the effect onvolumes, we find that the CME instrument caused Bitcoin volatility to increaseby more than double.

Causal effect of regulated Bitcoin futures on volatility and volume