Quantifying Cross-Correlations between Economic Policy Uncertainty and Bitcoin Market: Evidence from Multifractal Analysis

【Author】 Ma, Junjun; Wang, Tingting; Zhao, Ruwei

【Source】DISCRETE DYNAMICS IN NATURE AND SOCIETY

【影响因子】1.457

【Abstract】We investigate the dynamic correlation between the Bitcoin price (BTC) and the U.S. economic policy uncertainty index (USEPU) from the perspective of multifractality. Utilizing the multifractal detrended cross-correlation analysis (MF-DCCA), we confirm a long-range cross-correlation between BTC and USEPU. Moreover, the empirical results of MF-DCCA show that the power-law properties and multifractal characteristics between BTC and USEPU are significant. We further examine the long-range dependency of cross-correlation between BTC and USEPU series via the Hurst exponent test and confirm the durable cross-correlation. Finally, we introduce another multifractal indicator and examine the extent of multifractality among time series. The empirical results indicate that the BTC series, USEPU series, and the cross-correlation of BTC-USEPU present apparent multifractality, where BTC shows the strongest degree of multifractality.

【Keywords】

【发表时间】2022 JUN 6

【收录时间】2022-06-29

【文献类型】实证性文章

【主题类别】

区块链治理-市场治理-数字货币