The effect of political and economic uncertainty on the cryptocurrency market

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This article explores the effect of uncertainty on the cryptocurrency market. Previous work has been limited to analyzing the effect of uncertainty on Bitcoin. We depart from the previous literature by focusing on top 25 cryptocurrencies and find that the cryptocurrency market can serve as a strong hedge against geopolitical risks in most cases, but it could be considered a weak hedge and safe haven against economic policy uncertainty during a bull market. Notably, the cryptocurrency market reacts to uncertainty differently, depending on the type of uncertainty. Overall, our findings suggest that uncertainty is an essential determinant of cryptocurrency returns.
Publisher
ACADEMIC PRESS INC ELSEVIER SCIENCE
Issue Date
2021-03
Language
English
Article Type
Article
Citation

FINANCE RESEARCH LETTERS, v.39

ISSN
1544-6123
DOI
10.1016/j.frl.2020.101621
URI
http://hdl.handle.net/10203/282289
Appears in Collection
MG-Journal Papers(저널논문)
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