比特币期货推出对现货市场波动的影响研究
首发时间:2020-06-11
摘要:芝加哥期权交易所(CBOE)和芝加哥商品交易所(CME)先后于2017年12月10日,12月18日上线比特币期货,目前对于主流金融机构所是否应该接纳比特币这类高风险资产还存在广泛争议。本文基于GARCH族模型分析比特币期货的推出对现货市场波动的影响。实证结果显示,期货推出后,现货市场波动增大,且波动的增加并非是由于信息传递速度加快造成的,表明比特币期货交易的上线确实加剧了现货市场的不稳定性。比特币现货市场存在着非对称效应,期货推出后,非对称效应增强。根据实证结论,本文提出加强监管力度、丰富期货产品、加强投资者教育的建议。
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Research On The Impact Of Bitcoin Futures On Spot Market Volatility
Abstract:Chicago Board Options Exchange (CBOE) and Chicago Mercantile Exchange (CME) launched Bitcoin futures on December 10 and December 18, 2017.This marked the formal acceptance of bitcoin derivatives by mainstream financial institutions. At present, there is a debate on whether the official institutions should accept high-risk assets such as bitcoin.Based on GARCH model, this paper analyzes the impact of bitcoin futures on spot market volatility.The empirical results show that after the introduction of futures, the fluctuation of spot market increases, and the increase of fluctuation is not caused by the acceleration of information flow speed. It shows that bitcoin futures trading aggravates the instability of the spot market. There is an asymmetric effect in the bitcoin spot market. After the introduction of futures, the asymmetric effect increases. According to the empirical conclusion, this paper puts forward three suggestions: strengthen supervision, enrich futures products, and strengthen investor education.
Keywords: Internet finance Bitcoin futures GARCH model Volatility
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