Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 6, 2023 erstellt
Beschreibung:
This paper examines the impact of futures introduction on Bitcoin price crash risk. Using the difference-in-difference (DID) approach, we find that the crash risk of Bitcoin, proxied by negative coefficient of skewness (NCSKEW) and down-to-up volatility (DUVOL) of the five-minute intra-daily Bitcoin returns, decrease significantly after the Bitcoin futures introduction. We also provide several robustness checks and find that main empirical results are robust to the choice of control cryptocurrency and the sampling frequency for high frequency data. Our results suggest that Bitcoin futures introduction reduces rather than increases Bitcoin price crash risk