2019
DOI: 10.1016/j.ribaf.2018.09.011
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Effects of the geopolitical risks on Bitcoin returns and volatility

Abstract: This paper investigates the predictive power of global geopolitical risks (GPR) index on daily returns and price volatility of Bitcoin over the period July 18, 2010-November 30, 2017. Considering a Bayesian Graphical Structural Vector Autoregressive (BSGVAR) technique, we find that GPR has a predictive power on both returns and price volatility of Bitcoin. The results of the Ordinary Least Squares (OLS) estimations show that price volatility and returns of Bitcoin are positively and negatively related to the G… Show more

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Cited by 299 publications
(156 citation statements)
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References 35 publications
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“…Note the contemporaneous responses of Bitcoin returns to EPU and EURQ are stronger than the lagged responses. In addition, following Bouri et al (2017) and Aysan et al (2019), we include the lagged Chicago Board Options Exchange (CBOE) Volatility Index (VIX) and the geopolitical risks (GPR) index of Caldara and Iacoviello (2018) respectively in equation (1), along with the lagged EPU and EURQ. The VIX data comes from the FRED database, while the GPR data is downloaded from: https://www2.bc.edu/matteoiacoviello/gpr.htm.…”
Section: Resultsmentioning
confidence: 99%
See 1 more Smart Citation
“…Note the contemporaneous responses of Bitcoin returns to EPU and EURQ are stronger than the lagged responses. In addition, following Bouri et al (2017) and Aysan et al (2019), we include the lagged Chicago Board Options Exchange (CBOE) Volatility Index (VIX) and the geopolitical risks (GPR) index of Caldara and Iacoviello (2018) respectively in equation (1), along with the lagged EPU and EURQ. The VIX data comes from the FRED database, while the GPR data is downloaded from: https://www2.bc.edu/matteoiacoviello/gpr.htm.…”
Section: Resultsmentioning
confidence: 99%
“…Over the past three years, there has been a tremendous growth in research into the role of Bitcoin as a hedge against macroeconomic and financial uncertainties (see Bouri et al (2017Bouri et al ( , 2018, Aysan et al (2019) and Fang et al (2019) for detailed reviews of this literature). Demir et al (2018) show that increases in the newspaper-based measure of economic policy uncertainty (EPU) of the United States (US) developed by Baker et al (2016) tend to predict higher Bitcoin returns.…”
Section: Introductionmentioning
confidence: 99%
“…Features not covered by one of the presented categories are categorized as other features. Among these, Demir et al [30] use economic policy uncertainty, Aysan et al [31] use geopolitical risks, Hotz-Behofsits et al [32] use GPU prices from Amazon's bestseller lists. Phaladisailoed and Numnonda [33], as well as Mallqui and Fernandes [34], use timestamps.…”
Section: Return-predictive Featuresmentioning
confidence: 99%
“…Phaladisailoed and Numnonda [33], as well as Mallqui and Fernandes [34], use timestamps. Demir et al [30] and Aysan et al [31] conclude that bitcoin may serve as a hedge against policy uncertainty and geopolitical risks, respectively.…”
Section: Return-predictive Featuresmentioning
confidence: 99%
“…En el caso particular del Bitcoin, este puede servir como una herramienta de cobertura contra la incertidumbre del mercado y los riesgos geopoliticos (Demir, 2018;Aysan et al, 2019). Un número creciente de minoristas ahora acepta criptomonedas como método de pago.…”
Section: La Potencialidad De Las Criptomonedas Como Herramienta Para unclassified