The DOI matches its Crossref record; 4 of the 4 references it cites were found in a registry or an index.
Geopolitical risk, uncertainty and Bitcoin investment
Abstract
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.
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Cites
Testing the null hypothesis of stationarity against the alternative of a unit root
Kwiatkowski, D., Phillips, P. C. B., Schmidt, P., & Shin, Y. (1992) · Journal of Econometrics · doi:10.1016/0304-4076(92)90104-y · Cited by 12,633
Engle, R. (2002) · Journal of Business & Economic Statistics · doi:10.1198/073500102288618487 · Cited by 7,133
Urquhart, A. (2016) · Economics Letters · doi:10.1016/j.econlet.2016.09.019 · Cited by 1,338
New Private Monies: A Bit-Part Player?
Dowd, K. (2014) · SSRN Electronic Journal · doi:10.2139/ssrn.3903964 · Cited by 68
Cited by
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
- Al Mamun, M., Uddin, G. S., Suleman, M. T., & Kang, S. H.
- Venue
- Physica A: Statistical Mechanics and its Applications
- Publisher
- Elsevier BV
- Published
- 2020-02
- Volume
- 540
- Pages
- 123107
- ISSN
- 0378-4371 (ISSN-L)
- OpenAlex
- W2981084728
- Cited by
- 163
- References
- 4
- FWCI
- 17.77
- Type
- journal article
- Language
- en
- Open access
- closed
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- Al Mamun, M., Uddin, G. S., Suleman, M. T., & Kang, S. H. (2020). Geopolitical risk, uncertainty and Bitcoin investment. Physica A: Statistical Mechanics and its Applications. https://doi.org/10.1016/j.physa.2019.123107
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