The DOI matches its Crossref record; 45 of the 45 references it cites were found in a registry or an index.
Does global economic uncertainty matter for the volatility and hedging effectiveness of Bitcoin?
Open accessAbstract
We assess whether the long-run volatilities of Bitcoin, global equities, commodities, and bonds are affected by global economic policy uncertainty. Empirical results provide evidence supporting that, except for the case of bonds. We further examine whether the correlation between Bitcoin and global equities, commodities, and bonds are affected by global economic policy uncertainty and the results reveal that global economic policy uncertainty has a negative significant impact on the Bitcoin-bonds correlation, and a positive impact on both Bitcoin-equities and Bitcoin-commodities correlations, suggesting a possibility for Bitcoin to act as a hedge under specific economic uncertainty conditions. Interestingly, the hedging effectiveness of Bitcoin for both global equities and global bonds enhances slightly after considering the level of global economic policy uncertainty. Implications for investors and policy-makers are discussed.
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Citations
Cites
2 retracted
RETRACTED: Cryptocurrencies as a financial asset: A systematic analysis
Corbet, S., Lucey, B., Urquhart, A., & Yarovaya, L. (2019) · International Review of Financial Analysis · doi:10.1016/j.irfa.2018.09.003 · Cited by 1,172
RetractedRETRACTED: Datestamping the Bitcoin and Ethereum bubbles
Corbet, S., Lucey, B., & Yarovaya, L. (2018) · Finance Research Letters · doi:10.1016/j.frl.2017.12.006 · Cited by 638
RetractedMeasuring Economic Policy Uncertainty*
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Multivariate Simultaneous Generalized ARCH
Engle, R. F., & Kroner, K. F. (1995) · Econometric Theory · doi:10.1017/s0266466600009063 · Cited by 4,487
Bitcoin: Economics, Technology, and Governance
Böhme, R., Christin, N., Edelman, B., & Moore, T. (2015) · Journal of Economic Perspectives · doi:10.1257/jep.29.2.213 · Cited by 1,823
Bitcoin: Medium of exchange or speculative assets?
Baur, D. G., Hong, K., & Lee, A. D. (2018) · Journal of International Financial Markets, Institutions and Money · doi:10.1016/j.intfin.2017.12.004 · Cited by 1,449
On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier?
Bouri, E., Molnár, P., Azzi, G., Roubaud, D., & Hagfors, L. I. (2017) · Finance Research Letters · doi:10.1016/j.frl.2016.09.025 · Cited by 1,432
Self-citationCheah, E.-T., & Fry, J. (2015) · Economics Letters · doi:10.1016/j.econlet.2015.02.029 · Cited by 1,383
Exploring the dynamic relationships between cryptocurrencies and other financial assets
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Volatility estimation for Bitcoin: A comparison of GARCH models
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Cited by
Bitcoin, gold, and commodities as safe havens for stocks: New insight through wavelet analysis
Bouri, E., Shahzad, S. J. H., Roubaud, D., Kristoufek, L., & Lucey, B. (2020) · The Quarterly Review of Economics and Finance · doi:10.1016/j.qref.2020.03.004 · Cited by 521
Self-citationDoes gold or Bitcoin hedge economic policy uncertainty?
Wu, S., Tong, M., Yang, Z., & Derbali, A. (2019) · Finance Research Letters · doi:10.1016/j.frl.2019.04.001 · Cited by 265
Monetary policy shocks and Bitcoin prices
Ma, C., Tian, Y., Hsiao, S., & Deng, L. (2022) · Research in International Business and Finance · doi:10.1016/j.ribaf.2022.101711 · Cited by 34
Metadata
- Authors
- Fang, L., Bouri, E., Gupta, R., & Roubaud, D.
- Venue
- International Review of Financial Analysis
- Publisher
- Elsevier BV
- Published
- 2019-01
- Volume
- 61
- Pages
- 29-36
- ISSN
- 1057-5219 (ISSN-L)
- OpenAlex
- W2898449608
- Cited by
- 316
- References
- 45
- FWCI
- 43.26
- Type
- journal article
- Language
- en
- Open access
- green
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- Fang, L., Bouri, E., Gupta, R., & Roubaud, D. (2019). Does global economic uncertainty matter for the volatility and hedging effectiveness of Bitcoin? International Review of Financial Analysis. https://doi.org/10.1016/j.irfa.2018.12.010
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