Economic Policy Uncertainty and Cryptocurrency Market as a Risk Management Avenue: A Systematic Review

被引:43
作者
Ul Haq, Inzamam [1 ]
Maneengam, Apichit [2 ]
Chupradit, Supat [3 ]
Suksatan, Wanich [4 ]
Huo, Chunhui [5 ]
机构
[1] Comsats Univ Islamabad, Dept Management Sci, Islamabad 45550, Pakistan
[2] King Mongkuts Univ Technol North Bangkok, Coll Ind Technol, Dept Mech Engn Technol, Bangkok 10800, Thailand
[3] Chiang Mai Univ, Fac Associated Med Sci, Dept Occupat Therapy, Chiang Mai 50200, Thailand
[4] Chulabhorn Royal Acad, HRH Princess Chulabhorn Coll Med Sci, Fac Nursing, Bangkok 10210, Thailand
[5] Liaoning Univ, Asia Australia Business Coll, Shenyang 110036, Peoples R China
关键词
systematic analysis; cryptocurrency; economic policy uncertainty; hedge; safe-haven; diversifier; COVID-19; SAFE-HAVEN; IMPLIED VOLATILITY; BITCOIN RETURNS; HEDGE; GOLD;
D O I
10.3390/risks9090163
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
Cryptocurrency literature is increasing rapidly nowadays. Particularly, the role of the cryptocurrency market as a risk management avenue has got the attention of researchers. However, it is an immature asset class and requires gaps in current literature for future research directions. This research provides a systematic review of the vast range empirical literature based on the cryptocurrency market as a risk management avenue against economic policy uncertainty (EPU). The review discovers that cryptocurrencies have mixed connectedness patterns with all national EPU therefore, the risk mitigation ability varies from country to country. The review finds that heterogeneous correlation patterns are due to the dependence of EPU on the policies and decisions usually taken by regulatory authorities of a particular country. Additionally, heterogeneous EPU requires heterogeneous solutions to deal with stock market volatility and economic policy uncertainty in different economies. Likewise, the divergent protocol and administration of currencies in the crypto market consequently vicissitudes the hedging and diversification performance against each economy. Many research lines can benefit investors, policymakers, fund managers, or portfolio managers. Therefore, the authors suggested future research avenues in terms of topics, data frequency, and methodologies.
引用
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页数:24
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