Exploring the hedge and safe haven properties of cryptocurrency in policy uncertainty

【Author】 Hasan, Md Bokhtiar; Hassan, M. Kabir; Karim, Zulkefly Abdul; Rashid, Md Mamunur

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】We analyze the cryptocurrency policy uncertainty (UCRY Policy) effect on gold, Bitcoin, the US dollar, DJ Islamic Index, Sukuk, and WTI returns. Using Ordinary Least Square, Quantile regression, and Quantile-on-Quantile regression approaches, we find that Bitcoin, the US dollar, and WTI returns are negatively impacted by UCRY Policy during the bearish and bullish states, suggesting their failure to act as a hedge or safe-haven asset. Conversely, UCRY Policy positively impacts gold, DJ Islamic Index, and Sukuk returns, highlighting their potential to function as a hedge or safe-haven asset. Gold serves the same role during highly uncertain times.

【Keywords】Cryptocurrency policy uncertainty; Hedge; Safe-haven; Quantile-on-Quantile

【发表时间】2022 MAY

【收录时间】2022-07-10

【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