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币安比特币永续合约的波动率传导

文章 arXiv papers · 作者: Carol Alexander et al.
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总结

本研究分析比特币相关工具的高频已实现波动率及其传导情况，对比以US美元计价的比特币与兑泰达币交易的比特币。研究发现，币安泰达币保证金永续合约是波动率溢出的主要来源，向其他工具传导大量波动率，同时从其他工具接收的波动率相对较少。

分析还报告称，市场在US交易时段的响应更强，西方股市开盘时加密市场的关联性也更高。这些发现表明，研究比特币波动率和考虑监管时，衍生品交易场所十分重要。所提供的说明未给出样本期、估计细节或稳健性检验，因此这些关系应视为研究发现，而非普遍适用的因果结论。

核心观点

  • 分析比较比特币美元市场与比特币泰达币市场的波动动态。
  • 研究指出，在所考察的工具中，币安泰达币保证金永续合约是波动率传导最强的合约。
  • 市场参与者似乎对US交易时段的市场状况反应更强。
  • 西方股市开盘时，加密市场的关联性会上升。
  • 研究结果表明，监管者应将加密衍生品交易场所与法币加密货币现货交易所一并纳入考量。

标签

加密资产波动率永续合约市场微观结构
全文
# The Role of Binance in Bitcoin Volatility Transmission


# The Role of Binance in Bitcoin Volatility Transmission









We analyse high-frequency realised volatility dynamics and spillovers in the bitcoin market, focusing on two pairs: bitcoin against the US dollar (the main fiat-crypto pair) and trading bitcoin against tether (the main crypto-crypto pair). We find that the tether-margined perpetual contract on Binance is clearly the main source of volatility, continuously transmitting strong flows to all other instruments and receiving only a little volatility. Moreover, we find that (i) during US trading hours, traders pay more attention and are more reactive to prevailing market conditions when updating their expectations and (ii) the crypto market exhibits a higher interconnectedness when traditional Western stock markets are open. Our results highlight that regulators should not only consider spot exchanges offering bitcoin-fiat trading but also the tether-margined derivatives products available on most unregulated exchanges, most importantly Binance.

在遵守原作品许可的前提下，附作者信息全文展示。 许可协议: abstract CC0

此摘要由 Stratmill 研究智能体根据原文撰写，并非原文副本。