The impact of Bitcoin futures introduction on the underlying Bitcoin volatility has been a controversial topic. Conflicting results had been obtained from different sample periods and methodologies. To address this debate, this study examines the impact of futures trading on volatility and volatility asymmetry of Bitcoin returns in the short and long run. Using exponential GARCH models, we introduce a dummy in the variance equation to capture the changes in the volatility after the introduction of Bitcoin futures. We find that after the introduction, spot return volatility decreases in the short run, but increases in the long run. Besides, in the short run, there exists an inverse leverage effect before and after the introduction; in the long run, the inverse leverage effect before the introduction changes to a usual level effect after the introduction. Finally, we examine whether greater futures trading activity, proxied by trading volume and open interest, is associated with greater Bitcoin volatility. To do so, we decompose each proxy into expected and unexpected components and document that, in the long run, Bitcoin volatility covaries positively with unexpected futures trading volume, but negatively with unexpected futures open interest.

比特币期货的推出对潜在比特币波动性的影响一直是一个有争议的话题。从不同的采样周期和方法中获得了相互矛盾的结果。为了解决这一争论，本研究考察了期货交易对短期和长期比特币回报的波动性和波动性不对称性的影响。使用指数 GARCH 模型，我们在方差方程中引入了一个虚拟变量来捕捉引入比特币期货后波动率的变化。我们发现引入后，即期收益波动性在短期内降低，但在长期内增加。此外，短期内，引入前后均存在逆杠杆效应；长期来说，引入前的反向杠杆效应变为引入后的通常水平效应。最后，我们研究了以交易量和持仓量为代表的更大的期货交易活动是否与更大的比特币波动性相关。为此，我们将每个代理分解为预期和意外部分，并记录从长远来看，比特币波动率与意外期货交易量呈正相关，但与意​​外期货持仓量呈负相关。