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

Hung N. T., Huynh T. L. D., NASİR M. A.

International Journal of Finance and Economics, vol.29, no.3, pp.3811-3825, 2024 (SSCI, Scopus) identifier

  • Nəşrin Növü: Article / Article
  • Cild: 29 Say: 3
  • Nəşr tarixi: 2024
  • Doi nömrəsi: 10.1002/ijfe.2860
  • jurnalın adı: International Journal of Finance and Economics
  • Jurnalın baxıldığı indekslər: Social Sciences Citation Index (SSCI), Scopus, ABI/INFORM, Aerospace Database, Business Source Elite, Business Source Premier, Communication Abstracts, EconLit, Geobase, Metadex, vLex, Civil Engineering Abstracts
  • Səhifə sayı: pp.3811-3825
  • Açar sözlər: bitcoin, cryptocurrency policy uncertainty measures, economic policy uncertainty, wavelet analysis
  • Açıq Arxiv Kolleksiyası: Məqalə
  • Adres: Bəli

Qısa məlumat

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.