22. The Efficiency of Futures Markets on Cryptocurrencies

From the launch of Bitcoin till the present moment, cryptocurrency market had expanded continuously, gaining more and more influence over the global economy with each passing year. Yet, the events of 2020 marked a new phase for the cryptocurrency ecosystem, which has experienced a significant increase in size and complexity. The third halving cycle that led to an increase in cryptocurrency prices, the beginning of pandemic, and afterward inflation and economic uncertainty made Bitcoin an attractive asset for both retail and institutional investors. Although the liquidity of the cryptocurrency assets increased, their volatile nature is still persistent, causing mixed views on its status. While crypto-enthusiasts are perceiving it as a worthwhile investment with novel economic properties, the more skeptic participants consider it only a speculative asset with a transitory presence. The absence of a consensus on this topic has attracted the interest of the academic community, which aims to analyze whether cryptocurrencies display economic properties. A keystone characteristic for considering cryptocurrency an economic asset is the lack of price manipulation. In this respect, numerous papers have investigated the efficiency of the cryptocurrency market. Even though the results are mixed, a large body of studies indicate that the efficiency of the crypto-assets market varies, increasing from period to period. However, most of the papers focus on testing information efficiency only on the spot market. Thus, the objective of this study is to analyze whether the futures cryptocurrency market is efficient. In this regard, the futures prices for Bitcoin from 2018 to 2022 are used. On them, a battery of tests is applied, which investigate several statistical properties that can assess the efficiency hypothesis. Furthermore, under the assumption of efficient market hypothesis the spot and future prices are supposed to move together. In the contrary case, the efficient market hypothesis is rejected. Thus, the property is evaluated from a double perspective by using statistical tests and evaluating the relation between the spot and the future price.