Does economic policy uncertainty predict the Bitcoin returns? An empirical investigation

Ender Demir; Giray Gozgor; Marco Chi Keung Lau; Samuel Vigne

doi:10.1016/j.frl.2018.01.005

Does economic policy uncertainty predict the Bitcoin returns? An empirical investigation

Ender Demir, Giray Gozgor, Marco Chi Keung Lau, Samuel Vigne

Queen's Management School

Research output: Contribution to journal › Article

104 Citations (Scopus)

297 Downloads (Pure)

Abstract

We examine whether Bitcoin can hedge global uncertainty, measured by the first principal component of the VIXs of 14 developed and developing equity markets. After decomposing Bitcoin returns into various frequencies, i.e., investment horizons, and given evidence of heavy-tails, we employ quantile regression. We reveal that Bitcoin does act as a hedge against uncertainty: it reacts positively to uncertainty at both higher quantiles and shorter frequency movements of Bitcoin returns. Further, we use quantile-on-quantile regression and identify that hedging is observed at shorter investment horizons, and at both lower and upper ends of Bitcoin returns and global uncertainty.

Original language	English
Number of pages	8
Journal	Finance Research Letters
Early online date	31 Jan 2018
DOIs	https://doi.org/10.1016/j.frl.2018.01.005
Publication status	Early online date - 31 Jan 2018

Access to Document

10.1016/j.frl.2018.01.005Licence: Unspecified

Does Economic Policy Uncertainty Predict the Bitcoin Returns? An Empirical Investigation
Copyright 2017 Elsevier. This manuscript is distributed under a Creative Commons Attribution-NonCommercial-NoDerivs License (https://creativecommons.org/licenses/by-nc-nd/4.0/), which permits distribution and reproduction for non-commercial purposes, provided the author and source are cited.
Accepted author manuscript, 1.71 MBLicence: CC BY-NC-ND

Fingerprint Dive into the research topics of 'Does economic policy uncertainty predict the Bitcoin returns? An empirical investigation'. Together they form a unique fingerprint.

Cite this

Demir, E., Gozgor, G., Lau, M. C. K., & Vigne, S. (2018). Does economic policy uncertainty predict the Bitcoin returns? An empirical investigation. Finance Research Letters. https://doi.org/10.1016/j.frl.2018.01.005

@article{ee0b730d30f348f5884fa27a5b88a597,

title = "Does economic policy uncertainty predict the Bitcoin returns? An empirical investigation",

abstract = "We examine whether Bitcoin can hedge global uncertainty, measured by the first principal component of the VIXs of 14 developed and developing equity markets. After decomposing Bitcoin returns into various frequencies, i.e., investment horizons, and given evidence of heavy-tails, we employ quantile regression. We reveal that Bitcoin does act as a hedge against uncertainty: it reacts positively to uncertainty at both higher quantiles and shorter frequency movements of Bitcoin returns. Further, we use quantile-on-quantile regression and identify that hedging is observed at shorter investment horizons, and at both lower and upper ends of Bitcoin returns and global uncertainty.",

author = "Ender Demir and Giray Gozgor and Lau, {Marco Chi Keung} and Samuel Vigne",

year = "2018",

month = jan,

day = "31",

doi = "10.1016/j.frl.2018.01.005",

language = "English",

journal = "Finance Research Letters",

issn = "1544-6123",

publisher = "Elsevier BV",

}

TY - JOUR

T1 - Does economic policy uncertainty predict the Bitcoin returns? An empirical investigation

AU - Demir, Ender

AU - Gozgor, Giray

AU - Lau, Marco Chi Keung

AU - Vigne, Samuel

PY - 2018/1/31

Y1 - 2018/1/31

N2 - We examine whether Bitcoin can hedge global uncertainty, measured by the first principal component of the VIXs of 14 developed and developing equity markets. After decomposing Bitcoin returns into various frequencies, i.e., investment horizons, and given evidence of heavy-tails, we employ quantile regression. We reveal that Bitcoin does act as a hedge against uncertainty: it reacts positively to uncertainty at both higher quantiles and shorter frequency movements of Bitcoin returns. Further, we use quantile-on-quantile regression and identify that hedging is observed at shorter investment horizons, and at both lower and upper ends of Bitcoin returns and global uncertainty.

AB - We examine whether Bitcoin can hedge global uncertainty, measured by the first principal component of the VIXs of 14 developed and developing equity markets. After decomposing Bitcoin returns into various frequencies, i.e., investment horizons, and given evidence of heavy-tails, we employ quantile regression. We reveal that Bitcoin does act as a hedge against uncertainty: it reacts positively to uncertainty at both higher quantiles and shorter frequency movements of Bitcoin returns. Further, we use quantile-on-quantile regression and identify that hedging is observed at shorter investment horizons, and at both lower and upper ends of Bitcoin returns and global uncertainty.

U2 - 10.1016/j.frl.2018.01.005

DO - 10.1016/j.frl.2018.01.005

M3 - Article

JO - Finance Research Letters

JF - Finance Research Letters

SN - 1544-6123

ER -