The impact of index futures crash risk on bitcoin futures returns and volatility.

Tang, Chia-Hsien; Lee, Yen-Hsien; Huang, Ya-Ling; Liu, You-Xuan

Tang, Chia-Hsien; Lee, Yen-Hsien; Huang, Ya-Ling; Liu, You-Xuan.

Afiliación

Tang CH; Economics and Management Department, Guangxi Minzu Normal University, Chongzuo, Guangxi, China.
Lee YH; College of Business, Department of Finance, Chung Yuan Christian University, Taiwan.
Huang YL; Department of Golden-Ager Industry Management, Chaoyang University of Technology, Taiwan.
Liu YX; College of Business, Department of Finance, Chung Yuan Christian University, Taiwan.

Heliyon ; 10(2): e24126, 2024 Jan 30.

Article en En | MEDLINE | ID: mdl-38293515

ABSTRACT

ABSTRACT

This study examines the relationship between E-mini S&P 500 futures' crash risk and Bitcoin futures' returns and volatility using data from 2017 to 2021. While E-mini S&P 500's crash risk doesn't significantly influence Bitcoin returns, it correlates with its volatility, especially during events like the COVID-19 pandemic and U.S. elections. Furthermore, as global and emerging market indices rise, Bitcoin futures volatility decreases, suggesting its role as a hedging tool. These findings are pivotal for investors aiming to construct informed trading strategies, leverage Bitcoin futures as a hedging asset during economic instability, and keep tabs on traditional market indicators like E-mini S&P 500 crash risk for anticipating fluctuations in Bitcoin futures.

Palabras clave

Bitcoin futures; COVID-19; Crash risk; Index futures; Returns volatility

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Texto completo: 1 Colección: 01-internacional Base de datos: MEDLINE Tipo de estudio: Etiology_studies / Risk_factors_studies Idioma: En Revista: Heliyon Año: 2024 Tipo del documento: Article País de afiliación: China Pais de publicación: Reino Unido

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