Associate Professor Chuanhai Zhang, a researcher of the Base, has published a collaborative paper titled "Does Bitcoin futures trading reduce the normal and jump volatility in the spot market? Evidence from GARCH-jump models" in Finance Research Letters

Abstract:

This paper investigates how Bitcoin futures introduction affects Bitcoin's normal and jump volatility over time. Using GARCH-jump models, we find Bitcoin's normal and jump volatility increase in the short run, move in opposing directions in the mid run, and decrease in the long run. Besides, we examine whether futures trading activity, proxied by unexpected trading volume and open interest, is associated with Bitcoin volatility. We document that Bitcoin's normal and jump volatility covary positively with unexpected trading volume in the short and mid run. Meanwhile, both volatility covary positively (negatively) with unexpected open interest in the short (mid) run.

Key Words:Bitcoin;Bitcoin futures;Futures trading activity;Jump risk;GARCH-jump models

Link: Identifying latent factors based on high-frequency data - ScienceDirect

Teacher Profile

Chuanhai Zhang is a lecturer at the School of Finance, Zhongnan University of Economics and Law. His research interests include Financial Markets, Financial Measurement, Financial Risk Management, Fintech and Big Data. He has published nearly 10 articles in Economic Research Journal, Systems Engineering Theory and Practice, Journal of Econometrics, Quantitative Finance and Pacific-Basin Finance Journal. He has led and participated in many research projects of National Natural Science Foundation of China, National Social Science Foundation of China and Humanities and Social Science Research Foundation of Ministry of Education.