Informational inefficiency on bitcoin futures
研究了比特币期货市场信息无效率的动态变化及其驱动因素，发现零售交易者增加无效率而套期保值者降低无效率，投机者受新冠危机影响更大，极端情绪主要影响局部无效率。
This paper investigates the dynamics and drivers of informational inefficiency in the Bitcoin futures market. To quantify the adaptive pattern of informational inefficiency, we leverage two groups of statistics which measure long memory and fractal dimension to construct a global-local market inefficiency index. Our findings validate the adaptive market hypothesis, and the global and local inefficiency exhibits different patterns and contributions. Regarding the driving factors of the time-varying inefficiency, our results suggest that trading activity of retailers (hedgers) increases (decreases) informational inefficiency. Compared to hedgers and retailers, the role played by speculators is more likely to be affected by the COVID-19 crisis. Extremely bullish and bearish investor sentiment has more significant impact on the local inefficiency. Arbitrage potential, funding liquidity, and the pandemic exert impacts on the global and local inefficiency differently. No significant evidence is found for market liquidity and policy uncertainty related to cryptocurrency.