跨越政治不确定性的比特币市场关联性

IF 4.8 2区经济学 Q1 BUSINESS, FINANCE

International Review of Economics & Finance Pub Date : 2024-09-07 DOI:10.1016/j.iref.2024.103623

Yuxuan Chen , Junmao Chiu , Huimin Chung , Donald Lien

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引用次数: 0

摘要

在本研究中，我们研究了比特币市场、政治不确定性和各种金融市场不确定性指标之间的风险传递。我们发现，比特币的收益率和波动率是地缘政治风险指数和政党冲突指数等政治不确定性指标信息的接收者。在金融压力时期，这些影响非常明显。此外，随着时间的推移，金融市场不确定性指标会在传递者和接收者的角色之间转换。我们的研究结果进一步表明，比特币具有对冲和避险属性，可以缓解政治不确定性。我们的结果提供了对政治不确定性如何传递到比特币市场的全面理解。

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Bitcoin market connectedness across political uncertainty

In this study, we examine the risk transmissions between the bitcoin market, political uncertainty, and various financial market uncertainty measures. We find that the returns and volatilities of Bitcoin are the receivers of the information from political uncertainty measures, such as the geopolitical risk index and the party conflict indices. These effects are strong during periods of financial stress. Further, the financial market uncertainty measures switch between the roles of transmitters and receivers over time. Our results further show that Bitcoin has hedging and safe-haven properties that mitigate political uncertainty. Our results provide a full understanding of how political uncertainty is transmitted to the Bitcoin market.

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来源期刊

International Review of Economics & Finance Multiple-

CiteScore

7.30

自引率

2.20%

发文量

253

期刊介绍： The International Review of Economics & Finance (IREF) is a scholarly journal devoted to the publication of high quality theoretical and empirical articles in all areas of international economics, macroeconomics and financial economics. Contributions that facilitate the communications between the real and the financial sectors of the economy are of particular interest.