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Geopolitical risk, uncertainty and Bitcoin investment
La Trobe Univ, Australia.
Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
Lincoln Univ, New Zealand.
Pusan Natl Univ, South Korea; Univ South Australia, Australia.
2020 (English)In: Physica A: Statistical Mechanics and its Applications, ISSN 0378-4371, E-ISSN 1873-2119, Vol. 540, article id 123107Article in journal (Refereed) Published
Abstract [en]

We investigate the impact of geopolitical risk, global and US economic policy uncertainty on the structure of Bitcoin correlation with various financial and commodities asset classes. We further investigate the impact of the aforementioned factors on the volatility and risk premium of Bitcoin investment. We find that both geopolitical risk and global economic policy uncertainty command a risk premium, particularly in distress market conditions. Moreover, during the period of high policy uncertainty and worsening economic conditions, Bitcoin investors can only hedge their portfolio with gold, not with other financial assets. Our results highlight that the effect of geopolitical risk, global and US economic policy uncertainty is far more significant during unfavorable economic conditions. (C) 2019 Published by Elsevier B.V.

Place, publisher, year, edition, pages
ELSEVIER , 2020. Vol. 540, article id 123107
Keywords [en]
Bitcoin; Economic policy uncertainty; Geopolitical risk; Risk premia
National Category
Economics
Identifiers
URN: urn:nbn:se:liu:diva-163359DOI: 10.1016/j.physa.2019.123107ISI: 000506711900072OAI: oai:DiVA.org:liu-163359DiVA, id: diva2:1391081
Note

Funding Agencies|Jan Wallander and Tom Hedelius Foundation, Sweden; Ministry of Education of the Republic of Korea; National Research Foundation of KoreaNational Research Foundation of Korea [NRF-201751A5B8057488]

Available from: 2020-02-03 Created: 2020-02-03 Last updated: 2020-02-03

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Uddin, Gazi Salah
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