What drives Bitcoin's price crash risk?

【Author】 Kalyvas, Antonios; Papakyriakou, Panayiotis; Sakkas, Athanasios; Urquhart, Andrew

【Source】ECONOMICS LETTERS

【影响因子】1.469

【Abstract】We examine the association of the Bitcoin price crash risk with economic uncertainty and behavioral factors. We show that economic uncertainty displays a negative and significant association with Bitcoin price crash risk, indicating that when economic uncertainty is high, the crash risk of Bitcoin is low. We also find that behavioral factors have a weak association with Bitcoin crash risk. Our results suggest that investors can hedge economic uncertainty by investing in Bitcoin. (C) 2019 Elsevier B.V. All rights reserved.

【Keywords】Bitcoin; Crash risk; EPU; VIX; VSTOXX; Behavioral factors

【发表时间】2020 JUN

【收录时间】2022-01-02

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