Cryptocurrency Returns before and after the Introduction of Bitcoin Futures

摘要

This paper examines the behaviour of Bitcoin returns and those of several othercryptocurrencies in the pre and post period of the introduction of the Bitcoin futures market. We usethe principal component-guided sparse regression (PC-LASSO) model to analyze several samplesizes for the pre and post periods. Besides the neighbourhood of the break time, the current periodis also investigated as returns start to recover after some time. Search intensity is observed to bethe most important variable for Bitcoin for all periods, whereas for the other cryptocurrencies thereare other variables that seem more important in the pre period, while search intensity still standsout in the post period. Furthermore, GARCH analyses suggest that search intensity increases thevolatility of Bitcoin returns more in the post period than it does in the pre period. Our empiricalfindings 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 postand the recovery period. We find a spillover effect of the introduction of bitcoin futures on altcoinsand this effect seems to persist during the recovery period.