THE EFFECTS OF GOLD, STOCK MARKETS AND GEOPOLITICAL UNCERTAINTY ON BITCOIN PRICES AND VOLATILITY

IF 1 Q3 ECONOMICS

Global Economy Journal Pub Date : 2020-11-10 DOI:10.1142/s2194565920500207

N. Kyriazis

引用次数: 6

Abstract

This paper investigates the nexus between Bitcoin, gold and highly innovative uncertainty indices by employing alternative Autoregressive Conditional Heteroskedasticity (ARCH) and Generalized ARCH (GARCH) specifications. The period examined covers from March 2012 up to March 2020. Econometric outcomes indicate that Bitcoin returns and volatility are positively influenced by gold returns and the S&P500 volatility index (VIX). Nevertheless, it is revealed that the innovative Geopolitical Risk Index by Caldara and Iacoviello ( 2019 ) exerts negative impacts on Bitcoin markets. Evidence indicates that the Simple Asymmetric ARCH methodology provides the best fit for the purposes of estimations. Our findings cast light on the important aspects of Bitcoin behavior and provide guidance for decision-making about portfolios that contain Bitcoin and gold. This enables economic agents to ameliorate their risk–return trade-off depending on the fluctuations in stock markets and geopolitical uncertainty.

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黄金、股市和地缘政治的不确定性对比特币价格和波动性的影响

本文通过采用自回归条件异方差(ARCH)和广义ARCH (GARCH)规范，研究了比特币、黄金和高度创新的不确定性指标之间的关系。调查期间为2012年3月至2020年3月。计量经济学结果表明，比特币收益和波动率受到黄金收益和标准普尔500波动率指数(VIX)的正向影响，但Caldara和Iacoviello(2019)创新的地缘政治风险指数对比特币市场产生负向影响。证据表明，简单非对称ARCH方法最适合估算的目的。我们的研究结果揭示了比特币行为的重要方面，并为包含比特币和黄金的投资组合决策提供了指导。这使得经济主体能够根据股票市场的波动和地缘政治的不确定性来改善他们的风险回报权衡。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Global Economy Journal ECONOMICS-

CiteScore

1.60

自引率

14.30%

发文量

期刊介绍： The GEJ seeks to publish original and innovative research, as well as novel analysis, relating to the global economy. While its main emphasis is economic, the GEJ is a multi-disciplinary journal. The GEJ''s contents mirror the diverse interests and approaches of scholars involved with the international dimensions of business, economics, finance, history, law, marketing, management, political science, and related areas. The GEJ also welcomes scholarly contributions from officials with government agencies, international agencies, and non-governmental organizations. One over-arching theme that unites IT&FA members and gives focus to this journal is the complex globalization process, involving flows of goods and services, money, people, and information.