This study examines the informational efficiency of the bitcoin spot market by evaluating the predictive power of mechanical trading rules designed to exploit price continuation. Significant return predictability is found until the introduction of bitcoin futures in December 2017. The forecasting ability of trend‐chasing trading rules declines dramatically afterwards. Although evidence suggests that the introduction of bitcoin futures has increased the informational efficiency of the bitcoin spot market, no signs of improvement in informational efficiency are found in ethereum, the second‐largest cryptocurrency—following the introduction of bitcoin futures.

中文翻译：

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比特币期货对比特币现货市场信息效率的影响

本研究通过评估旨在利用价格持续性的机械交易规则的预测能力，检验了比特币现货市场的信息效率。直到2017年12月推出比特币期货之前，人们才发现重要的回报可预测性。趋势追踪交易规则的预测能力此后急剧下降。尽管有证据表明，引入比特币期货已提高了比特币现货市场的信息效率，但在比特币期货推出之后，第二大加密货币以太坊未发现信息效率有所改善的迹象。