不确定世界中的加密货币:从各种不确定性指数中得出的全面见解

IF 2.8 3区 经济学 Q2 BUSINESS, FINANCE
Ngo Thai Hung, Toan Luu Duc Huynh, Muhammad Ali Nasir
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引用次数: 0

摘要

本研究利用 2014 年 1 月至 2022 年 12 月的月度数据,研究了经济政策不确定性对比特币市场的影响。在此过程中,我们考虑了六大不确定性指数(全球经济政策不确定性、股票市场波动性、基于推特的经济不确定性、地缘政治风险指数、加密货币政策不确定性指数、加密货币价格不确定性指数),特别是 Lucey 等人(2022 年)提出的两个新的加密货币不确定性指数。我们的研究结果发现,比特币价格与所选的关键不确定性指数之间存在负相关关系,这表明不确定性越高,比特币在时间和频率域的波动越小。我们的研究结果为投资者构建包含比特币的投资策略的资产组合提供了有价值的信息,因为在经济政策不确定性冲击下,比特币可以起到分散投资的作用。使用替代方法后,我们的结果依然稳健。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Cryptocurrencies in an uncertain world: Comprehensive insights from a wide range of uncertainty indices

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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来源期刊
CiteScore
5.70
自引率
6.90%
发文量
143
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