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 |
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Elsevier
2024-01-01
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| Series: | Heliyon |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2405844024001579 |
| _version_ | 1797328705569161216 |
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| author | Chia-Hsien Tang Yen-Hsien Lee Ya-Ling Huang You-Xuan Liu |
| author_facet | Chia-Hsien Tang Yen-Hsien Lee Ya-Ling Huang You-Xuan Liu |
| author_sort | Chia-Hsien Tang |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-03-08T06:55:32Z |
| format | Article |
| id | doaj.art-034a182864644858bb80381bc79d88f9 |
| institution | Directory Open Access Journal |
| issn | 2405-8440 |
| language | English |
| last_indexed | 2024-03-08T06:55:32Z |
| publishDate | 2024-01-01 |
| publisher | Elsevier |
| record_format | Article |
| series | Heliyon |
| spelling | doaj.art-034a182864644858bb80381bc79d88f92024-02-03T06:36:17ZengElsevierHeliyon2405-84402024-01-01102e24126The impact of index futures crash risk on bitcoin futures returns and volatilityChia-Hsien Tang0Yen-Hsien Lee1Ya-Ling Huang2You-Xuan Liu3Economics and Management Department, Guangxi Minzu Normal University, Chongzuo, Guangxi, ChinaCollege of Business, Department of Finance, Chung Yuan Christian University, Taiwan; Corresponding author.Department of Golden-Ager Industry Management, Chaoyang University of Technology, Taiwan; Corresponding author.College of Business, Department of Finance, Chung Yuan Christian University, TaiwanThis 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.http://www.sciencedirect.com/science/article/pii/S2405844024001579Bitcoin futuresIndex futuresCrash riskReturns volatilityCOVID-19 |
| spellingShingle | Chia-Hsien Tang Yen-Hsien Lee Ya-Ling Huang You-Xuan Liu The impact of index futures crash risk on bitcoin futures returns and volatility Heliyon Bitcoin futures Index futures Crash risk Returns volatility COVID-19 |
| title | The impact of index futures crash risk on bitcoin futures returns and volatility |
| title_full | The impact of index futures crash risk on bitcoin futures returns and volatility |
| title_fullStr | The impact of index futures crash risk on bitcoin futures returns and volatility |
| title_full_unstemmed | The impact of index futures crash risk on bitcoin futures returns and volatility |
| title_short | The impact of index futures crash risk on bitcoin futures returns and volatility |
| title_sort | impact of index futures crash risk on bitcoin futures returns and volatility |
| topic | Bitcoin futures Index futures Crash risk Returns volatility COVID-19 |
| url | http://www.sciencedirect.com/science/article/pii/S2405844024001579 |
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