The 6th Academic Luncheon of the Digital Technology and Finance

Abstract:
At the end of 2017, a Bitcoin market crash followed the introduction of Bitcoin futures from the CBOE and CME. As a result, futures introduction might be blamed for exacerbating Bitcoin price crash risk although there is little empirical evidence to support this accusation in the literature. This paper examines how futures introduction affects Bitcoin price crash risk. Using the difference-in-differences (DID) analysis, we find that the crash risk of Bitcoin, proxied by negative coefficient of skewness (NCSKEW) and down-to-up volatility (DUVOL) of the 5-minute intra-daily Bitcoin returns, decrease significantly after the Bitcoin futures introduction. We also provide several robustness checks and find that main empirical results are robust to the choice of control cryptocurrency and the sampling frequency for high frequency data. Our results suggest that Bitcoin futures introduction reduces rather than leads to Bitcoin price crash risk.

Speaker Introduction:
Chuanhai Zhang is currently a lecturer at the School of Finance, Zhongnan University of Economics and Law. He is a visiting scholar at the University of Wisconsin, and a PhD in quantitative economics jointly trained by Xiamen University and Humboldt University of Berlin. He successively obtained the Bachelor of Science, Master of Science and Ph.D. in Economics from Zhengzhou University, Wuhan University and Xiamen University, respectively. His research interests mainly include financial markets, financial measurement, financial risk management, financial technology and big data. His research results have been published in Economic Research Journal, Systems Engineering - Theory and Practice, Journal of Econometrics, Pacific-Basin Finance Journal and other domestic and foreign journals. He presided over and participated in a number of research projects of the National Natural Science Foundation of China, the National Social Science Foundation of China, and the Humanities and Social Sciences Research Fund of the Ministry of Education.