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.

比特币期货于 2017 年 12 月推出，一些人认为这是最受欢迎的加密货币最终被金融界接受的标志。在本文中，我们使用贝叶斯扩散回归（状态空间）结构时间序列，从五个特征——回报、波动性、偏度、峰度和流动性，研究了引入比特币期货对比特币现货市场的影响模型。我们的结果表明，比特币期货的引入可能对美元比特币现货市场的回报和偏度产生下行影响，而对波动性、峰度和流动性产生上行影响，在引入期货后这些因素变得更高。因此，我们的论文为投资者和监管机构提供了重要的见解，