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

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,...

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Bibliographic Details
Published inHeliyon Vol. 10; no. 2; p. e24126
Main Authors Tang, Chia-Hsien, Lee, Yen-Hsien, Huang, Ya-Ling, Liu, You-Xuan
Format Journal Article
LanguageEnglish
Published England Elsevier Ltd 30.01.2024
Elsevier
Subjects
Bitcoin futures
COVID-19
Crash risk
Index futures
Returns volatility
COVID-19
Crash risk
Bitcoin futures
Returns volatility
Index futures
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Summary: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.
Bibliography:ObjectType-Article-1
SourceType-Scholarly Journals-1
ObjectType-Feature-2
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ISSN:2405-8440
2405-8440
DOI:10.1016/j.heliyon.2024.e24126