What effect did the introduction of Bitcoin futures have on the Bitcoin spot market?
使用贝叶斯扩散回归状态空间模型，研究了2017年12月比特币期货推出后，对比特币现货市场的收益率、波动性、偏度、峰度和流动性的影响，发现期货引入降低了收益率和偏度，提高了波动性、峰度和流动性。
Bitcoin futures were introduced in December 2017 and this was seen by some as a sign of the most popular cryptocurrency finally being accepted by the financial community. In this paper, we examine the impact of the introduction of Bitcoin futures on the Bitcoin spot market in terms of five characteristics – returns, volatility, skewness, kurtosis and liquidity, using a Bayesian diffusion-regression (state-space) structural time-series model. Our results indicate that the introduction of bitcoin futures potentially exerted a downward impact on the USD bitcoin spot market return and skewness and an upward one on volatility, kurtosis and liquidity, which became higher after futures were introduced. Therefore, our paper offers important insights for investors and regulators, while providing some guidance as to the potential impact of futures markets on other cryptocurrencies.