Premium
Impact of bitcoin futures on the informational efficiency of bitcoin spot market
Author(s) -
Shynkevich Andrei
Publication year - 2021
Publication title -
journal of futures markets
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.88
H-Index - 55
eISSN - 1096-9934
pISSN - 0270-7314
DOI - 10.1002/fut.22164
Subject(s) - futures contract , cryptocurrency , predictability , market efficiency , spot contract , predictive power , exploit , economics , spot market , financial economics , price discovery , futures market , computer science , computer security , electricity , philosophy , physics , epistemology , quantum mechanics , electrical engineering , engineering
This study examines the informational efficiency of the bitcoin spot market by evaluating the predictive power of mechanical trading rules designed to exploit price continuation. Significant return predictability is found until the introduction of bitcoin futures in December 2017. The forecasting ability of trend‐chasing trading rules declines dramatically afterwards. Although evidence suggests that the introduction of bitcoin futures has increased the informational efficiency of the bitcoin spot market, no signs of improvement in informational efficiency are found in ethereum, the second‐largest cryptocurrency—following the introduction of bitcoin futures.