Revisiting Bitcoin Price Behavior Under Global Economic Uncertainty

【Author】 Khan, Khalid; Sun, Jiluo; Derindere Koseoglu, Sinem; Rehman, Ashfaq U.

【Source】SAGE OPEN

【影响因子】2.032

【Abstract】This study examines the relationship between global economic policy uncertainty (GEPU) and bitcoin prices (BCP) employing the rolling window method. The full sample test shows that there is no causality between GEPU and BCP. However, the full sample causal relationship between the variables can be different when considering structural changes. The finding of the rolling window test indicates that there is causality in different subsamples. It has found both positive and negative bidirectional causalities between GEPU and BCP across various subsamples. The decision makers need to accelerate the development of blockchain technology that can be used for hedging and portfolio diversification. Moreover, enacting laws and regulations on state interventions and prohibitions ensures investor confidence. Information about policy changes should be incorporated into portfolio selection to avoid random market fluctuations. Its unregulated nature makes it more turbulent in the short term and has undergone sudden changes, so investors should be able to obtain comprehensive information about global economic and policy changes. Policy makers should ensure investor confidence by making legal regulations on state interventions and prohibitions.

【Keywords】bitcoin; global economic uncertainty; Granger causality; bootstrap rolling window; digital currency

【发表时间】2021 JUL

【收录时间】2022-01-02

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