IBSS Research Seminar

What Influences Bitcoin Implied Volatility?

Organised by: RCE 4 (Data Analytics and Modelling)

Presentation Title: What Influences Bitcoin Implied Volatility?

Time and Date: 14:00 - 15:30 pm, 13 Novemeber 2024 (Beijing time)

Language: English

Onsite location: BS G21

Abstract:

This study uses Bitcoin options data to create a model-free Bitcoin implied volatility index (BVIX) and investigates the factors that influence it. The research shows that investor attention is the most significant predictor of BVIX, while investor sentiment, interest rates, and trading volume also have predictive power. These findings are both statistically and economically significant. Additionally, the study suggests that these predictors affect call and put options differently, and non-fundamental sentiment is more important in influencing Bitcoin implied volatility than fundamental sentiment.

Presenter: Dr. Hai Lin, Victoria University of Wellington

Dr. Hai Lin is a professor of finance at the School of Economics and Finance, Victoria University of Wellington, and also worked as the Head of School between 2021 and June 2024. He received his PhD in Finance from Xiamen University. His research interests cover fixed-income securities, market microstructure, and derivatives. His research has been published in the Journal of Financial Economics, Management Science, Journal of Financial Intermediation, and other leading finance journals. He received best paper awards from the Asian Finance Association Annual Meeting, the New Zealand Finance Colloquium, the Peter L. Bernstein Award for best paper in an Institutional Investor journal, etc.