6533b7d0fe1ef96bd125aec6

RESEARCH PRODUCT

The effect of the launch of bitcoin futures on the cryptocurrency market: an economic efficiency approach

David Vidal-tomásJosé E. FarinósAna M. Ibáñez

subject

Economic efficiencyCryptocurrency050208 financeGeneral Mathematicslcsh:Mathematics05 social sciencesUNESCO::CIENCIAS ECONÓMICASMonetary economicslcsh:QA1-939risk-return trade-off:CIENCIAS ECONÓMICAS [UNESCO]Market liquiditymalmquist indexcryptocurrencyeconomic efficiencydeaRest (finance)0502 economics and businessComputer Science (miscellaneous)Data envelopment analysisEconomics050207 economicsEngineering (miscellaneous)Futures contractMalmquist index

description

We analyze the economic efficiency of the cryptocurrency market after the launch of Bitcoin futures by means of the Data Envelopment Analysis and Malmquist Indexes. Our results show that the introduction of Bitcoin futures did not affect the economic efficiency of the cryptocurrency market. However, we observe that Bitcoin obtained the highest risk-return trade-off due to its liquidity compared to the rest of cryptocurrencies. Therefore, our paper underlines the support of investors on Bitcoin to the detriment of the rest of cryptocurrencies.

yearjournalcountryeditionlanguage
2021-02-20
10.3390/math9040413https://hdl.handle.net/10550/82466