Bitcoin futures: An effective tool for hedging cryptocurrencies

Helder Sebastião and Pedro Godinho ()

Finance Research Letters, 2020, vol. 33, issue C

Abstract: In December 2017, the CBOE and CME launched bitcoin futures, arguing that, similar to other futures, these contracts would provide more price transparency, price discovery, and a risk management tool for bitcoin. Using daily data from several sources, this paper investigates the hedging properties of CBOE Bitcoin futures during the initial months of trading. The results point out that bitcoin futures are effective hedging instruments not only for bitcoin, but also for other major cryptocurrencies. Bitcoin futures can even cope with bitcoin tail risk, however they may leverage the existence of extreme losses for other currencies.

Keywords: Bitcoin; Cryptocurrency; Futures; Hedging (search for similar items in EconPapers)
JEL-codes: G12 G14 G15 G23 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (24)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612319301849
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:33:y:2020:i:c:s1544612319301849

DOI: 10.1016/j.frl.2019.07.003

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().