The Risk And Return Relation In Bitcoin Spot And Futures Intraday Returns

Since future contracts on Bitcoin were presented in December 2017 by Chicago Board Options Exchange(CBOE)and the Chicago Mercantile Exchange(CME),this study investigates the risk and return relation in Bitcoin spot and futures intraday returns.We have obtained five minutes interval intraday data of Spot market and Future market of Bitcoins.This data is taken from Bloomberg for the period of December 10th,201717:15 to April 6th,2018 00:10.To check this relationship,GARCH in Mean(GARCH-M)Model through variance of risk and variance of volatility and Augmented Dicky Fuller(ADF)test are used.In empirical results,some of selected models with different combinations suggested the positive relationship between risk and return for both spot market and future market of bitcoins.Previous returns and volatilities both inferred positive significant impact on current stocks.Based on historical Spot prices and Future prices of Bitcoins,our findings suggest that GARCH in mean(GARCH-M)model is very useful to explain the risk and return relation in Bitcoin spot and futures intraday returns.