A comparative analysis of cryptocurrency returns and economic policy uncertainty pre- and post-Covid-19

【Author】 Umar, Muhammad; Shahzad, Fakhar; Ullah, Irfan; Fanghua, Tong

【Source】RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE

【影响因子】6.143

【Abstract】This study analyzes the impact of economic policy uncertainty (EPU) on cryptocurrency returns for a sample of 100 highly capitalized cryptocurrencies from January 2016 to May 2021. The results of the panel data analysis and quantile regression show that increases in global EPU have a positive impact on cryptocurrency returns for lower cryptocurrency returns quantiles and an adverse impact for upper quantiles. In line with the existing literature, the Covid-19 pandemic resulted in higher returns for cryptocurrencies. Inclusion of a Covid-19 dummy in the models strengthened the impact of EPU on cryptocurrency returns. Furthermore, the relationship between the change in EPU and cryptocurrency returns was direct in the pre-Covid-19 period but inverse in the post-Covid-19 period. These results imply that cryptocurrencies act more like traditional financial assets in the post-Covid-19 era.

【Keywords】Economic policy uncertainty; Cryptocurrency; Quantile regression; Covid-19

【发表时间】2023 APR

【收录时间】2023-06-05

【文献类型】实证数据

【主题类别】

区块链应用-虚拟经济-虚拟货币