淡江大學機構典藏:Item 987654321/124361
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    题名: Cryptocurrency Return Dependency and Economic Policy Uncertainty
    作者: Yen, Kuang-Chieh;Nie, Wei-Ying;Chang, Hsuan-Ling;Chang, Li-Han
    关键词: Bitcoin;Cryptocurrencies;Dependency effect;economic policy uncertainty (EPU)
    日期: 2023-06-26
    上传时间: 2023-08-08 12:06:19 (UTC+8)
    摘要: 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
    显示于类别:[財務金融學系暨研究所] 會議論文

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