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Return
Crypto Carry
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PRE
AI
DOI：10.1287/mnsc.2024.05069.png)
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Abstract
En 中文
We analyze the dynamics of carry in crypto markets-the difference between futures and spot prices-and document that it can reach exceptionally high levels, sometimes exceeding 40% per annum, with significant variation over time. This phenomenon reflects a substantial and volatile inconvenience yield associated with holding spot cryptocurrencies relative to futures. We trace the large and volatile crypto carry to the interplay of two main forces: (i) demand from smaller, trend-chasing investors seeking leveraged exposure and (ii) the limited deployment of arbitrage capital because of regulatory and margin frictions. Our findings highlight how structural limits to arbitrage-especially severe in the case of crypto-can amplify price inefficiencies across financial markets, offering lessons for understanding asset pricing and market behavior more generally.
Keywords:
crypto
carry
futures basis
bitcoin
ether
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