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,...
Main Authors: | , , , |
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Format: | Article |
Language: | English |
Published: |
Elsevier
2024-01-01
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Series: | Heliyon |
Subjects: | |
Online Access: | http://www.sciencedirect.com/science/article/pii/S2405844024001579 |