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.
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