Is there an expiration effect in the bitcoin market?

Blasco, N. (Universidad de Zaragoza) ; Corredor, P. ; Satrústegui, N.

Resumen: This paper studies the monthly expiration effect in the bitcoin markets. The emergence of trading in bitcoin futures in regulated markets is an ideal occasion to test this effect on an asset with singular characteristics. Our results with intraday data show that around the time of maturity there are significant changes in the trading volume, volatility and return of bitcoin, an asset that is traded in many exchanges simultaneously. Therefore, there is a clear expiration effect related to bitcoin futures. The closer to the expiration time (shortly beforehand or afterwards), the more intense these effects are. However, in spite of these general results, the expiration effect is not homogeneous across exchanges and depends on the characteristics of the futures contract in question. Robustness tests are also applied to confirm the results. The increasing participation of institutional investors is consistent with our findings, particularly in relation to the expiration effects of cash-settled futures, as these contracts are more appealing for sophisticated investors who could be interested in arbitrage or speculative processes.

Idioma: Inglés

DOI: 10.1016/j.iref.2023.02.013

Año: 2023

Publicado en: INTERNATIONAL REVIEW OF ECONOMICS & FINANCE 85 (2023), 647-663
ISSN: 1059-0560

Factor impacto JCR: 4.8 (2023)

Categ. JCR: ECONOMICS rank: 57 / 597 = 0.095 (2023) - Q1 - T1
Categ. JCR: BUSINESS, FINANCE rank: 26 / 231 = 0.113 (2023) - Q1 - T1

Factor impacto CITESCORE: 7.3 - Economics and Econometrics (Q1) - Finance (Q1)

Factor impacto SCIMAGO: 1.093 - Finance (Q1) - Economics and Econometrics (Q1)

Financiación: info:eu-repo/grantAgreement/ES/DGA/S11-20R-CEMBE
Financiación: info:eu-repo/grantAgreement/ES/MCIN/PID2019-104304GB-I00
Financiación: info:eu-repo/grantAgreement/ES/MCINN/RTI2018-093483-B-I00

Tipo y forma: Article (Published version)

Área (Departamento): Área Economía Finan. y Contab. (Dpto. Contabilidad y Finanzas)