Table 9.

Hedging effectiveness of the Bitcoin futures to the Bitcoin spot after controlling other cryptocurrencies.

Hedging characteristics	Panel A	Panel B
Average Hedge ratio	0.8218	0.8431
Min	−0.1027	−0.3597
Max	1.1425	1.2166
HE value	0.6670	0.6744

Panel A is the case for controlling all the other cryptocurrencies, i.e., Ethereum (ETH), Litecoin (LTC), Dash (DASH), Ethereum Classic (ETC), Monero (XMR), Neo (NEO), and OmiseGO (OMG); Panel B refers to the case to control the Neo (NEO). The lag length of the VAR model for Panel A is equal to 1, thus, a VAR-BEKK-GARCH (1,1,1) model is estimated. The lag length of the VAR model for Panel B is equal to 3, thus, a VAR-BEKK-GARCH (3,1,1) is implemented.