The Impact of Derivatives on Spot Markets: Evidence from the Introduction of Bitcoin Futures Contracts

• 成果类型: Article
• 署名作者: Augustin, Patrick; Rubtsov, Alexey; Shin, Donghwa
• 署名单位: McGill University; Toronto Metropolitan University; University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina School of Medicine
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2023.4900
• 发表日期: 2023
• 页码: 6752-6776
• 关键词: Bitcoin; Blockchain; Cryptocurrencies; derivatives; FinTech; regulation

摘要

Cryptocurrencies provide a unique opportunity to identify how derivatives impact spot markets. They are fully fungible and trade across multiple spot exchanges at different prices, and futures contracts were selectively introduced on Bitcoin (BTC) exchange rates against the U.S. dollar (USD) in December 2017. Following the futures introduction, we find a significantly greater increase in cross-exchange price synchronicity for BTC-USD relative to other exchange rate pairs as demonstrated by an increase in price correlations and a reduction in arbitrage opportunities and volatility. We also find support for an increase in price efficiency, market quality, and liquidity. The evidence suggests that futures contracts allowed investors to circumvent arbitrage frictions associated with shortsale constraints, arbitrage risk associated with block confirmation time, and market segmentation. Overall, our analysis supports the view that the introduction of BTC-USD futures was beneficial to the Bitcoin spot market by making the underlying prices more informative.