Cryptocurrency Return Dependency and Economic Policy Uncertainty

機構典藏 > College of Business and Management > Graduate Institute & Department of Banking and Finance > Proceeding > Item 987654321/124361

Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/124361

Title:	Cryptocurrency Return Dependency and Economic Policy Uncertainty
Authors:	Yen, Kuang-Chieh;Nie, Wei-Ying;Chang, Hsuan-Ling;Chang, Li-Han
Keywords:	Bitcoin;Cryptocurrencies;Dependency effect;economic policy uncertainty (EPU)
Date:	2023-06-26
Issue Date:	2023-08-08 12:06:19 (UTC+8)
Abstract:	This study investigated whether economic policy uncertainty (EPU) affects the degree of Bitcoin return dependency in the cryptocurrency (crypto) market by calculating the Pearson correlation between Bitcoin returns and the average returns of 19 cryptocurrencies to determine the return dependency. First, we found that an increase in global EPU strengthens the dependency effect. Among the country-level EPU indexes, we found that the increased EPU of crypto-friendly countries (United States, United Kingdom, Japan, and South Korea) is the main enhancer of dependency. By contrast, the EPU index of crypto-unfriendly countries (China and Russia) exhibits a statistically nonsignificant effect. Finally, the empirical results remain similar if we replace Bitcoin with Ethereum to measure dependency.
DOI:	10.1016/j.frl.2023.104182
Appears in Collections:	[Graduate Institute & Department of Banking and Finance] Proceeding

Files in This Item:

File	Description	Size	Format
index.html		0Kb	HTML	103	View/Open