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

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.

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Item Type:	Article
Authors/Creators:	Hung, NT Huynh, TLD Nasir, MA https://orcid.org/0000-0003-2779-5854
Copyright, Publisher and Additional Information:	© 2023 John Wiley & Sons Ltd. This is the peer reviewed version of the following article: Nasir, MA , Hung, NT and Huynh, TLD (Accepted: 2023) Cryptocurrencies in an uncertain world: Comprehensive insights from a wide range of uncertainty indices. International Journal of Finance and Economics, which has been published in final form at https://doi.org/10.1002/ijfe.2860. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Use of Self-Archived Versions. This article may not be enhanced, enriched or otherwise transformed into a derivative work, without express permission from Wiley or by statutory rights under applicable legislation. Copyright notices must not be removed, obscured or modified. The article must be linked to Wiley’s version of record on Wiley Online Library and any embedding, framing or otherwise making available the article or pages thereof by third parties from platforms, services and websites other than Wiley Online Library must be prohibited.
Keywords:	bitcoin; cryptocurrency policy uncertainty measures; economic policy uncertainty; wavelet analysis
Dates:	Published (online): 4 July 2023 Accepted: 20 June 2023
Institution:	The University of Leeds
Depositing User:	Symplectic Publications
Date Deposited:	21 Jul 2023 10:12
Last Modified:	21 Jul 2023 10:12
Status:	Published online
Publisher:	Wiley-Blackwell
Open Archives Initiative ID (OAI ID):	oai:eprints.whiterose.ac.uk:200680

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

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