References
- Abhyankar, A., D. Ghosh, E. Levin, and R. J. Limmack. 1997. “Bid-ask Spreads, Trading Volume and Volatility: Intra-day Evidence from the London Stock Exchange.” Journal of Business Finance & Accounting 24 (3): 343–362.
- Amihud, Y. 2002. “Illiquidity and Stock Returns: Cross-Section and Time-Series Effects.” Journal of Financial Markets 5 (1): 31–56.
- Antoniou, A., and P. Holmes. 1995. “Futures Trading, Information and Spot Price Volatility: Evidence for the FTSE-100 Stock Index Futures Contract Using GARCH.” Journal of Banking & Finance 19 (1): 117–129.
- Bae, S. C., T. H. Kwon, and J. W. Park. 2004. “Futures Trading, Spot Market Volatility, and Market Efficiency: The Case of the Korean Index Futures Markets.” Journal of Futures Markets 24 (12): 1195–1228.
- Baillie, R. T., and T. Bollerslev. 1991. “Intra-day and Inter-Market Volatility in Foreign Exchange Rates.” The Review of Economic Studies 58 (3): 565–585.
- Balcilar, M., E. Bouri, R. Gupta, and D. Roubaud. 2017. “Can Volume Predict Bitcoin Returns and Volatility? A Quantiles-Based Approach.” Economic Modelling 64: 74–81.
- Bariviera, A. F. 2017. “The Inefficiency of Bitcoin Revisited: A Dynamic Approach.” Economics Letters 161: 1–4.
- Bariviera, A. F., L. Zunino, and O. A. Rosso. 2018. “An Analysis of High-Frequency Cryptocurrencies Prices Dynamics Using Permutation-Information-Theory Quantifiers.” Chaos: An Interdisciplinary Journal of Nonlinear Science 28 (7): 075511.
- Baur, D. G., and T. Dimpfl. 2019. “Price Discovery in Bitcoin Spot or Futures?” Journal of Futures Markets 39 (7): 803–817.
- Bessembinder, H., and P. J. Seguin. 1992. “Futures-trading Activity and Stock Price Volatility.” The Journal of Finance 47 (5): 2015–2034.
- Bouoiyour, J., and R. Selmi. 2015. “What Bitcoin Looks Like?” Annals of Economics and Finance 16 (2): 449–492.
- Bouri, E., C. K. M. Lau, B. Lucey, and D. Roubaud. 2019. “Trading Volume and the Predictability of Return and Volatility in the Cryptocurrency Market.” Finance Research Letters 29: 340–346.
- Bouri, E., P. Molnár, G. Azzi, D. Roubaud, and L. I. Hagfors. 2017. “On the Hedge and Safe Haven Properties of Bitcoin: Is it Really More Than a Diversifier?” Finance Research Letters 20: 192–198.
- Brandvold, M., P. Molnár, K. Vagstad, and O. C. A. Valstad. 2015. “Price Discovery on Bitcoin Exchanges.” Journal of International Financial Markets, Institutions and Money 36: 18–35.
- Brock, W. A., and A. W. Kleidon. 1992. “Periodic Market Closure and Trading Volume: A Model of Intraday Bids and Asks.” Journal of Economic Dynamics and Control 16 (3–4): 451–489.
- Cai, C. X., R. Hudson, and K. Keasey. 2004. “Intraday bid-ask Spreads, Trading Volume and Volatility: Recent Empirical Evidence from the London Stock Exchange.” Journal of Business Finance & Accounting 31 (5–6): 647–676.
- Cheah, E. T., and J. Fry. 2015. “Speculative Bubbles in Bitcoin Markets? An Empirical Investigation Into the Fundamental Value of Bitcoin.” Economics Letters 130: 32–36.
- Cheng, E. 2018. Merrill Lynch bans its clients, advisors from trading bitcoin-related investments. https://www.cnbc.com/2018/01/03/merrill-lynch-bans-its-clients-advisors-from-trading-bitcoin-related-investments-report-says.html.
- Ciaian, P., M. Rajcaniova, and d’A Kancs. 2018. “Virtual Relationships: Short-and Long-run Evidence from BitCoin and Altcoin Markets.” Journal of International Financial Markets, Institutions and Money 52: 173–195.
- Clapp, J., and E. Helleiner. 2012. “Troubled Futures? The Global Food Crisis and the Politics of Agricultural Derivatives Regulation.” Review of International Political Economy 19 (2): 181–207.
- Clark, P. K. 1973. “A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices.” Econometrica: Journal of the Econometric Society 41 (1): 135–155.
- CME. 2017. CME Bitcoin futures frequently asked questions. http://www.cmegroup.com/education/cme-bitcoin-futures-frequently-asked-questions.html.
- Corbet, S., B. Lucey, M. Peat, and S. Vigne. 2018a. “Bitcoin Futures—What Use Are They?” Economics Letters 172: 23–27.
- Corbet, S., A. Meegan, C. Larkin, B. Lucey, and L. Yarovaya. 2018b. “Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets.” Economics Letters 165: 28–34.
- Corwin, S.A., and P. Schultz. 2012. “A Simple Way to Estimate Bid-Ask Spreads from Daily High and Low Prices.” The Journal of Finance 67 (2): 719–760.
- Cromwell, J. B. 1994. Multivariate Tests for Time Series Models (No. 100). London: Sage.
- Daigler, R. T., and M. K. Wiley. 1999. “The Impact of Trader Type on the Futures Volatility–Volume Relation.” The Journal of Finance 54 (6): 2297–2316.
- Danthine, J. P. 1978. “Information, Futures Prices, and Stabilizing Speculation.” Journal of Economic Theory 17 (1): 79–98.
- Darrat, A. F., S. Rahman, and M. Zhong. 2003. “Intraday Trading Volume and Return Volatility of the DJIA Stocks: A Note.” Journal of Banking & Finance 27 (10): 2035–2043.
- Dinkins, D. 2017. In Unexpected Move, South Korean Regulator Suddenly Bans Bitcoin Futures Trading. https://cointelegraph.com/news/in-unexpected-move-south-korean-regulator-suddenly-bans-bitcoin-futures-trading.
- Dwyer, G. P. 2015. “The Economics of Bitcoin and Similar Private Digital Currencies.” Journal of Financial Stability 17: 81–91.
- Dyhrberg, A. H. 2016. “Hedging Capabilities of Bitcoin. Is It the Virtual Gold?” Finance Research Letters 16: 139–144.
- Economics, T. E. C. 1976. “A Model of Asset Trading Under the Assumption of Sequential Information Arrival.” The Journal of Finance 31 (4): 1149–1168.
- Engle, R. F., and G. Lee. 1999. “A Long-run and Short-run Component Model of Stock Return Volatility.” In Cointegration, Causality, and Forecasting: A Festschrift in Honour of Clive WJ Granger, edited by R.F. Engle and H. White, 475–497. Oxford: Oxford University Press.
- Eross, A., F. McGroarty, A. Urquhart, and S. Wolfe. 2017. The Intraday Dynamics of Bitcoin. https://ssrn.com/abstract=3013699.
- Feng, W., Y. Wang, and Z. Zhang. 2017. “Informed Trading in the Bitcoin Market.” Finance Research Letters. doi:10.1016/j.frl.2017.11.009.
- Figlewski, S. 1981. “Futures Trading and Volatility in the GNMA Market.” The Journal of Finance 36 (2): 445–456.
- Foley, S., J. R. Karlsen, and T. J. Putniņš. 2019. “Sex, Drugs, and Bitcoin: How Much Illegal Activity is Financed Through Cryptocurrencies?” The Review of Financial Studies 32 (5): 1798–1853.
- Foster, F. D., and S. Viswanathan. 1990. “A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets.” The Review of Financial Studies 3 (4): 593–624.
- Fry, J., and E. T. Cheah. 2016. “Negative Bubbles and Shocks in Cryptocurrency Markets.” International Review of Financial Analysis 47: 343–352.
- Garbade, K., and W. Silber. 1983. “Price Movements and Price Discovery in Futures and Cash Markets.” The Review of Economics and Statistics 65: 289–297.
- Geweke, J., R. Meese, and W. Dent. 1983. “Comparing Alternative Tests of Causality in Temporal Systems: Analytic Results and Experimental Evidence.” Journal of Econometrics 21 (2): 161–194.
- Harris, L. 1986. “A Transaction Data Study of Weekly and Intradaily Patterns in Stock Returns.” Journal of Financial Economics 16 (1): 99–117.
- Hendrickson, J. R., and W. J. Luther. 2017. “Banning Bitcoin.” Journal of Economic Behavior & Organization 141: 188–195.
- Jain, A., P. K. Jain, T. H. McInish, and M. McKenzie. 2013. “Worldwide Reach of Short Selling Regulations.” Journal of Financial Economics 109 (1): 177–197.
- Kapar, B., and J. Olmo. 2019. “An Analysis of Price Discovery between Bitcoin Futures and Spot Markets.” Economics Letters 174: 62–64.
- Karpoff, J. M. 1987. “The Relation between Price Changes and Trading Volume: A Survey.” Journal of Financial and Quantitative Analysis 22 (1): 109–126.
- Katsiampa, P. 2017. “Volatility Estimation for Bitcoin: A Comparison of GARCH Models.” Economics Letters 158: 3–6.
- Köchling, G., J. Müller, and P. N. Posch. 2018. “Does the Introduction of Futures Improve the Efficiency of Bitcoin?” Finance Research Letters. https://doi.org/10.1016/j.frl.2018.11.006.
- Kristoufek, L. 2013. “BitCoin Meets Google Trends and Wikipedia: Quantifying the Relationship between Phenomena of the Internet era.” Scientific Reports 3: 3415.
- Lo, S., and J. C. Wang. 2014. Bitcoin as Money? (No. 14-4). Boston: Federal Reserve Bank of Boston.
- Loi, H. 2017. “The Liquidity of Bitcoin.” International Journal of Economics and Finance 10 (1): 13.
- McInish, T. H., and R. A. Wood. 1992. “An Analysis of Intraday Patterns in bid/ask Spreads for NYSE Stocks.” The Journal of Finance 47 (2): 753–764.
- McKenzie, M. D., T. J. Brailsford, and R. W. Faff. 2001. “New Insights Into the Impact of the Introduction of Futures Trading on Stock Price Volatility.” Journal of Futures Markets 21 (3): 237–255.
- Nadarajah, S., and J. Chu. 2017. “On the Inefficiency of Bitcoin.” Economics Letters 150: 6–9.
- Ozvatic, S. 2015. An Analysis of Bitcoin Spot and Futures Markets. researchonline.mq.edu.au.
- Pieters, G., and S. Vivanco. 2017. “Financial Regulations and Price Inconsistencies Across Bitcoin Markets.” Information Economics and Policy 39: 1–14.
- Porter, D. C. 1992. “The Probability of a Trade at the ask: An Examination of Interday and Intraday Behavior.” Journal of Financial and Quantitative Analysis 27 (2): 209–227.
- Roll, R. 1984. “A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market.” The Journal of Finance 39 (4): 1127–1139.
- Sil, Y. 2017. Trade of Bitcoin Futures: S. Korean Financial Authorities Ban Bitcoin Futures Trading. http://www.businesskorea.co.kr/english/news/money/20022-trade-bitcoin-futures-s-korean-financial-authorities-ban-bitcoin-futures-trading.
- Stein, J. C. 1987. “Informational Externalities and Welfare-Reducing Speculation.” Journal of Political Economy 95 (6): 1123–1145.
- Thomson Reuters. 2017. Factbox: Bitcoin futures contracts at CME and Cboe. https://www.reuters.com/article/us-bitcoin-futures-contracts-factbox/factbox-bitcoin-futures-contracts-at-cme-and-cboe-idUSKBN1E92IR.
- Tiwari, A. K., R. K. Jana, D. Das, and D. Roubaud. 2018. “Informational Efficiency of Bitcoin-An Extension.” Economics Letters 163: 106–109.
- Urquhart, A. 2016. “The Inefficiency of Bitcoin.” Economics Letters 148: 80–82.
- Urquhart, A. 2017. “Price Clustering in Bitcoin.” Economics Letters 159: 145–148.
- Williams-Grut, O. 2017. South Korea has Reportedly Banned Bitcoin Futures. https://www.businessinsider.my/south-korea-bitcoin-futures-2017-12/?r=UK&IR=T.
- Wood, R. A., T. H. McInish, and J. K. Ord. 1985. “An Investigation of Transactions Data for NYSE Stocks.” The Journal of Finance 40 (3): 723–739.
- Yermack, D. 2015. “Is Bitcoin a Real Currency?” NBER Working Paper Series 19747: 31–43.