Article: The impact of index futures crash risk on bitcoin futures returns and volatility.
2024 Volume 10, Issue 2, Page(s) e24126
Abstract: 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 ... ...
Abstract | 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. |
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Language | English |
Publishing date | 2024-01-08 |
Publishing country | England |
Document type | Journal Article |
ZDB-ID | 2835763-2 |
ISSN | 2405-8440 |
ISSN | 2405-8440 |
DOI | 10.1016/j.heliyon.2024.e24126 |
Database | MEDical Literature Analysis and Retrieval System OnLINE |
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