The impact of index futures crash risk on bitcoin futures returns and volatility.
Heliyon
; 10(2): e24126, 2024 Jan 30.
Article
en En
| MEDLINE
| ID: mdl-38293515
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.
Texto completo:
1
Colección:
01-internacional
Banco de datos:
MEDLINE
Tipo de estudio:
Etiology_studies
/
Risk_factors_studies
Idioma:
En
Revista:
Heliyon
Año:
2024
Tipo del documento:
Article
País de afiliación:
China