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Long Memory in the Volatility of Selected Cryptocurrencies: Bitcoin, Ethereum and Ripple

Cryptocurrency Returns before and after the Introduction of Bitcoin Futures

Department of Economics, Marmara University, Istanbul 34722, Turkey
Department of Economics, University of Guelph, Guelph, ON N1G 2W1, Canada
Author to whom correspondence should be addressed.
J. Risk Financial Manag. 2020, 13(6), 116;
Received: 7 May 2020 / Revised: 25 May 2020 / Accepted: 30 May 2020 / Published: 4 June 2020
This paper examines the behaviour of Bitcoin returns and those of several other cryptocurrencies in the pre and post period of the introduction of the Bitcoin futures market. We use the principal component-guided sparse regression (PC-LASSO) model to analyze several sample sizes for the pre and post periods. Besides the neighbourhood of the break time, the current period is also investigated as returns start to recover after some time. Search intensity is observed to be the most important variable for Bitcoin for all periods, whereas for the other cryptocurrencies there are other variables that seem more important in the pre period, while search intensity still stands out in the post period. Furthermore, GARCH analyses suggest that search intensity increases the volatility of Bitcoin returns more in the post period than it does in the pre period. Our empirical findings suggest that the top five cryptocurrencies are substitutes before the launch of Bitcoin futures. However, this effect is lost, and moreover, there are spillover effects on altcoins during both the post and the recovery period. We find a spillover effect of the introduction of bitcoin futures on altcoins and this effect seems to persist during the recovery period. View Full-Text
Keywords: bitcoin; cryptocurrencies; PC-LASSO; GARCH bitcoin; cryptocurrencies; PC-LASSO; GARCH
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MDPI and ACS Style

Deniz, P.; Stengos, T. Cryptocurrency Returns before and after the Introduction of Bitcoin Futures. J. Risk Financial Manag. 2020, 13, 116.

AMA Style

Deniz P, Stengos T. Cryptocurrency Returns before and after the Introduction of Bitcoin Futures. Journal of Risk and Financial Management. 2020; 13(6):116.

Chicago/Turabian Style

Deniz, Pinar, and Thanasis Stengos. 2020. "Cryptocurrency Returns before and after the Introduction of Bitcoin Futures" Journal of Risk and Financial Management 13, no. 6: 116.

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