Cryptocurrencies in an uncertain world: Comprehensive insights from a wide range of uncertainty indices

【Author】 Hung, Ngo Thai; Huynh, Toan Luu Duc; Nasir, Muhammad Ali

【Source】INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS

【影响因子】1.634

【Abstract】This study investigates the impacts of economic policy uncertainty on the Bitcoin market using the monthly data from January 2014 to December 2022. In so doing, six major uncertainty indices (Global Economic Policy Uncertainty, Equity Market Volatility, Twitter-based Economic Uncertainty, Geopolitical risk index, The Cryptocurrency Policy Uncertainty Index, The Cryptocurrency Price Uncertainty Index), and in particular, two novel Cryptocurrency Uncertainty indexes as introduced by Lucey et al. (2022) are taken into account. Our findings uncover a negative connectedness between Bitcoin prices and the key selected uncertainty indices, suggesting that higher uncertainties result in lower Bitcoin fluctuation across time and frequency domains. Our results provide valuable information on constructing asset portfolios for investors who have investment strategies entailing Bitcoin since Bitcoin would be a diversifier under economic policy uncertainty shocks. Our results hold robust by using the alternative methodology.

【Keywords】bitcoin; cryptocurrency policy uncertainty measures; economic policy uncertainty; wavelet analysis

【发表时间】2023 2023 JUL 4

【收录时间】2023-07-22

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-市场分析