Economic policy uncertainty and the Bitcoin-US stock nexus

被引：69
作者：
Mokni, Khaled [1 ,2 ]
Ajmi, Ahdi Noomen [3 ,4 ]
Bouri, Elie [5 ,6 ]
Xuan Vinh Vo [6 ,7 ]
机构：
[1] Northern Border Univ, Coll Business Adm, Ar Ar 91431, Saudi Arabia
[2] Gabes Univ, Inst Super Gest Gabes, Gabes 6002, Tunisia
[3] Prince Sattam bin Abdulaziz Univ, Coll Sci & Humanities Slayel, Dept Business Adm, Al Kharj, Saudi Arabia
[4] Manouba Univ, ESC Tunis, Manouba, Tunisia
[5] Lebanese Amer Univ, Adnan Kassar Sch Business, Beirut, Lebanon
[6] Univ Econ Ho Chi Minh City, Inst Business Res, Ho Chi Minh City, Vietnam
[7] Univ Econ Ho Chi Minh City, CFVG, Ho Chi Minh City, Vietnam
来源：
JOURNAL OF MULTINATIONAL FINANCIAL MANAGEMENT | 2020年 / 57-58卷
关键词：
Bitcoin; Stock market; Economic policy uncertainty; Dynamic conditional correlations; VOLATILITY TRANSMISSION; CO-MOVEMENTS; MARKETS; COMMODITY; RETURNS; PREDICT; SHOCKS; MATTER; OIL;
D O I：
10.1016/j.mulfin.2020.100656
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We examine the effect of economic policy uncertainty (EPU) on the dynamic conditional correlations between Bitcoin and the US stock markets while accounting for structural changes in Bitcoin prices. The results indicate a negative effect of EPU on the dynamic conditional correlations between Bitcoin and the US stock markets only after the Bitcoin crash of December 2017. Further analysis shows an increase in the EPU level is associated with an increase in the optimal weight of Bitcoin in the portfolio before the Bitcoin crash. However, EPU exerts a negative (positive) impact on the hedging ratio during low (high) uncertainty levels after the Bitcoin crash. The findings underscore the usefulness of adding Bitcoin to a US stock portfolio, which is in line with previous studies. (C) 2020 Elsevier B.V. All rights reserved.
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页数：13
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