The cryptocurrency uncertainty index

【Author】 Lucey, Brian M.; Vigne, Samuel A.; Yarovaya, Larisa; Wang, Yizhi

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】We have developed and made available a new Cryptocurrency Uncertainty Index (UCRY) based on news coverage. Our UCRY Index captures two types of uncertainty: that of the price of cryptocurrency (UCRY Price) and uncertainty of cryptocurrency policy (UCRY Policy). We show that the constructed index exhibits distinct movements around major events in cryptocurrency space. We suggest that this index captures uncertainty beyond Bitcoin, and can be used for academic, policy, and practice-driven research.

【Keywords】Cryprocurrencies; Policy and price uncertainty; Uncertainty index; Cryptocurrency uncertainty index

【发表时间】2022 MAR

【收录时间】2022-03-17

【文献类型】期刊

【主题类别】

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