Please use this identifier to cite or link to this item: http://hdl.handle.net/10316/88797
Title: Bitcoin futures: An effective tool for hedging cryptocurrencies
Authors: Sebastião, Helder 
Godinho, Pedro 
Keywords: Bitcoin; Cryptocurrency; Futures; Hedging
Issue Date: 4-Jul-2019
Publisher: Elsevier
Serial title, monograph or event: Finance Research Letters
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 these initial months of trading. The results point out that bitcoin futures are effective hedging instruments not only for bitcoin, but also for other cryptocurrencies. Bitcoin futures can even cope with bitcoin tail risk, however they may leverage the existence of extreme losses for other currencies.
URI: http://hdl.handle.net/10316/88797
DOI: 10.1016/j.frl.2019.07.003
Rights: embargoedAccess
Appears in Collections:I&D CeBER - Artigos em Revistas Internacionais

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