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Did the Introduction of Bitcoin Futures Crash the Bitcoin Market at the End of 2017?
16 references·5 citing·53 second hopsampled
Did the Introduction of Bitcoin Futures Crash the Bitcoin Market at the End of 2017? (2018)Did the Introduction of Bitcoin Futures C…RETRACTED: Is Bitcoin a better safe-haven investment than gold and commodities? (2019)RETRACTED: Is Bitcoin a bette…Price discovery in bitcoin spot or futures? (2019)Price discovery in bitcoin sp…BitMEX bitcoin derivatives: Price discovery, informational efficiency, and hedging effectiveness (2019)BitMEX bitcoin derivatives: P…What determines bitcoin exchange prices? A network VAR approach (2018)What determines bitcoin excha…What Causes the Attention of Bitcoin? (2018)What Causes the Attention of …Does twitter predict Bitcoin? (2018)Does twitter predict Bitcoin?Bitcoin returns and transaction activity (2018)Bitcoin returns and transacti…Bitcoin Futures—What use are they? (2018)Bitcoin Futures—What use are …An analysis of price discovery between Bitcoin futures and spot markets (2018)An analysis of price discover…Can volume predict Bitcoin returns and volatility? A quantiles-based approach (2017)Can volume predict Bitcoin re…Tranching, CDS, and Asset Prices: How Financial Innovation Can Cause Bubbles and Crashes (2012)Tranching, CDS, and Asset Pri…Generalized impulse response analysis in linear multivariate models (1998)Generalized impulse response …The Summary Informativeness of Stock Trades: An Econometric Analysis (1991)The Summary Informativeness o…Measuring the Information Content of Stock Trades (1991)Measuring the Information Con…The relation between forward prices and futures prices (1981)The relation between forward …Forward and Futures Prices: Evidence from the Foreign Exchange Markets (1981)Forward and Futures Prices: E…Assessing the crypto market stability after the FTX collapse: A study of high frequency volatility and connectedness (2024)Assessing the crypto market s…The impacts of futures trading on volatility and volatility asymmetry of Bitcoin returns (2023)The impacts of futures tradin…Portfolio Diversification, Hedge and Safe-Haven Properties in Cryptocurrency Investments and Financial Economics: A Systematic Literature Review (2022)Portfolio Diversification, He…Does Bitcoin futures trading reduce the normal and jump volatility in the spot market? Evidence from GARCH-jump models (2022)Does Bitcoin futures trading …A Forecast Comparison of Volatility Models Using Realized Volatility: Evidence from the Bitcoin Market (2018)A Forecast Comparison of Vola…An Intertemporal Capital Asset Pricing Model (1973)Martingales and arbitrage in multiperiod securities markets (1979)A Theory of the Term Structure of Interest Rates (1985)Stochastic Convenience Yield and the Pricing of Oil Contingent Claims (1990)The Analytic Valuation of American Options (1990)The Dynamics of Commodity Spot and Futures Markets: A Primer (2001)Trends and random walks in macroeconmic time series (1982)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Assessing the Quality of a Security Market: A New Approach to Transaction-Cost Measurement (1993)Liquidity Provision with Limit Orders and a Strategic Specialist (1997)Evaporating Liquidity (2012)Macroeconomics and Reality (1980)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)The theory and practice of econometrics (1986)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Does Algorithmic Trading Improve Liquidity? (2011)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)The Relation Between Price Changes and Trading Volume: A Survey (1987)A test for independence based on the correlation dimension (1996)RETRACTED: Datestamping the Bitcoin and Ethereum bubbles (2017)Dynamic connectedness and integration in cryptocurrency markets (2018)Modeling and Forecasting Realized Volatility (2003)The Sum of All FEARS Investor Sentiment and Asset Prices (2014)Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin (2015)Effects of the geopolitical risks on Bitcoin returns and volatility (2018)Return and volatility spillovers among cryptocurrencies (2018)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)CoVaR (2016)When Bitcoin meets economic policy uncertainty (EPU): Measuring risk spillover effect from EPU to Bitcoin (2018)Can Bitcoin hedge the risks of geopolitical events? (2020)Cryptocurrency price prediction using traditional statistical and machine‐learning techniques: A survey (2021)Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures (1993)One Security, Many Markets: Determining the Contributions to Price Discovery (1995)Bitcoin as a Safe Haven: Is It Even Worth Considering? (2018)Pandemic-Related Financial Market Volatility Spillovers: Evidence from the Chinese COVID-19 Epicentre (2020)Diversifying equity with cryptocurrencies during COVID-19 (2021)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)A new statistic and practical guidelines for nonparametric Granger causality testing (2006)The Inefficiency of Bitcoin (2016)Should Investors Include Bitcoin in Their Portfolios? A Portfolio Theory Approach (2018)Is cryptocurrency a hedge or a safe haven for international indices? A comprehensive and dynamic perspective (2019)Time-series forecasting of Bitcoin prices using high-dimensional features: a machine learning approach (2020)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold (2010)Is Bitcoin a Hedge or Safe-Haven for Currencies? An Intraday Analysis (2018)Are cryptocurrencies a safe haven for equity markets? An international perspective from the COVID-19 pandemic (2020)Searching for safe-haven assets during the COVID-19 pandemic (2020)
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References

  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
  • 1991Measuring the Information Content of Stock Trades1,868 cited
  • 1981The relation between forward prices and futures prices740 cited
  • 2017Can volume predict Bitcoin returns and volatility? A quantiles-based approach718 cited
  • 2019RETRACTED: Is Bitcoin a better safe-haven investment than gold and commodities?696 cited
  • 1991The Summary Informativeness of Stock Trades: An Econometric Analysis537 cited
  • 2018What Causes the Attention of Bitcoin?389 cited
  • 2018Does twitter predict Bitcoin?381 cited
  • 2018Bitcoin Futures—What use are they?258 cited
  • 2018What determines bitcoin exchange prices? A network VAR approach191 cited
  • 1981Forward and Futures Prices: Evidence from the Foreign Exchange Markets183 cited
  • 2018Bitcoin returns and transaction activity154 cited
  • 2012Tranching, CDS, and Asset Prices: How Financial Innovation Can Cause Bubbles and Crashes138 cited
  • 2019Price discovery in bitcoin spot or futures?130 cited
  • 2018An analysis of price discovery between Bitcoin futures and spot markets125 cited

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2019
BitMEX bitcoin derivatives: Price discovery, informational efficiency, and hedging effectiveness
116 cited

Cited by

  • 2022Portfolio Diversification, Hedge and Safe-Haven Properties in Cryptocurrency Investments and Financial Economics: A Systematic Literature Review78 cited
  • 2024Assessing the crypto market stability after the FTX collapse: A study of high frequency volatility and connectedness31 cited
  • 2022Does Bitcoin futures trading reduce the normal and jump volatility in the spot market? Evidence from GARCH-jump models28 cited
  • 2023The impacts of futures trading on volatility and volatility asymmetry of Bitcoin returns26 cited
  • 2018A Forecast Comparison of Volatility Models Using Realized Volatility: Evidence from the Bitcoin Market22 cited