(The) effect of political and economic uncertainty on the cryptocurrency market = 경제 및 정치적 불확실성이 암호화폐 시장에 미치는 영향에 대한 연구

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This study contributes to the scant academic and scientific literature concerning cryptocurrencies by measuring the effect of political and economic uncertainty on the cryptocurrency market. Previous work has been limited to analyzing the effect of uncertainty on the returns and volatility of only bitcoin. We depart empirically from these studies by analyzing the behavior of the top 25 cryptocurrency coins, which together represent nearly 95% of the total market capitalization. We use a fixed effect regression with Driscoll-Kraay standard errors and find that global economic policy uncertainty has a negative effect on the cryptocurrency market, whereas periods of extreme geopolitical tensions have a positive effect on the volatility and returns of the market. Our results are robust to alternative measures of uncertainty, a random sample of coins with a smaller market capitalization, and the use of an alternative methodology. We suggest several implications for investment managers, users, and policymakers. Additionally, we provide recommendations for future research.
Advisors
Kim, Wonjoonresearcher김원준researcher
Description
한국과학기술원 :기술경영학부,
Publisher
한국과학기술원
Issue Date
2020
Identifier
325007
Language
eng
Description

학위논문(석사) - 한국과학기술원 : 기술경영학부, 2020.2,[iii, 37 p. :]

Keywords

Cryptocurrency▼aUncertainty▼aReturns▼aVolatility▼aBitcoin; 암호화폐▼a불확실성▼a수익률▼a변동성▼a비트코인

URI
http://hdl.handle.net/10203/283992
Link
http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=910784&flag=dissertation
Appears in Collection
MG-Theses_Master(석사논문)
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