The relationship between Bitcoin returns and trade policy uncertainty

被引：95

作者：

Gozgor, Giray ^{[1
]}

Tiwari, Aviral Kumar ^{[2
]}

Demir, Ender ^{[1
]}

Akron, Sagi ^{[3
]}

机构：

[1] Istanbul Medeniyet Univ, Istanbul, Turkey

[2] Montpellier Business Sch, Montpellier, France

[3] Univ Haifa, Haifa, Israel

来源：

FINANCE RESEARCH LETTERS | 2019年 / 29卷

关键词：

Bitcoin; Cryptocurrency markets; Trade policy uncertainty; Portfolio choice; The USA economy; WAVELET COHERENCE; INEFFICIENCY; COMOVEMENT; CAUSALITY; PREDICT; HEDGE; BIAS;

D O I：

10.1016/j.frl.2019.03.016

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper investigates the relationship between the returns of Bitcoin and the index of trade policy uncertainty (TPI) in the United States (USA) in the period of July 2010-August 2018. The paper implements the Wavelet Power Spectrum (WPS), the Wavelet Coherency (WTC), and the Cross-Wavelet (XWT) techniques. There is a positive correlation between the related variables. However, the findings indicate that there are significant regime changes in both Bitcoin returns and the TPI during the periods of 2010-11 and 2017-18. In addition, there is a significant and negative causal relationship that runs from the TPI to the returns of Bitcoin during the related periods. Overall, the paper finds that trade policy uncertainty significantly and negatively affects the Bitcoin returns during the periods of regime changes.

引用

页码：75 / 82

页数：8

共 32 条

[11] The causal relationship between Bitcoin attention and Bitcoin returns: Evidence from the Copula-based Granger causality test
Dastgir, Shabbir
Demir, Ender
Downing, Gareth
Gozgor, Giray
Lau, Chi Keung Marco
[J]. FINANCE RESEARCH LETTERS, 2019, 28 : 160 - 164
[12] Davis S.J, 2018, CHICAGO BOOTH R 1114
[13] Does economic policy uncertainty predict the Bitcoin returns? An empirical investigation
Demir, Ender
Gozgor, Giray
Lau, Chi Keung Marco
Vigne, Samuel A.
[J]. FINANCE RESEARCH LETTERS, 2018, 26 : 145 - 149
[14] Fang L, 2018, DOES GLOBAL EC UNCER
[15] Application of the cross wavelet transform and wavelet coherence to geophysical time series
Grinsted, A
Moore, JC
Jevrejeva, S
[J]. NONLINEAR PROCESSES IN GEOPHYSICS, 2004, 11 (5-6) : 561 - 566
[16] Portfolio diversification with virtual currency: Evidence from bitcoin
Guesmi, Khaled
Saadi, Samir
Abid, Ilyes
Ftiti, Zied
[J]. INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 2019, 63 : 431 - 437
[17] What Are the Main Drivers of the Bitcoin Price? Evidence from Wavelet Coherence Analysis
Kristoufek, Ladislav
[J]. PLOS ONE, 2015, 10 (04):
[18] Rectification of the bias in the wavelet power spectrum
Liu, Yonggang
Liang, X. San
Weisberg, Robert H.
[J]. JOURNAL OF ATMOSPHERIC AND OCEANIC TECHNOLOGY, 2007, 24 (12) : 2093 - 2102
[19] Geophysical Applications of Partial Wavelet Coherence and Multiple Wavelet Coherence
Ng, Eric K. W.
Chan, Johnny C. L.
[J]. JOURNAL OF ATMOSPHERIC AND OCEANIC TECHNOLOGY, 2012, 29 (12) : 1845 - 1853
[20] On the determinants of bitcoin returns: A LASSO approach
Panagiotidis, Theodore
Stengos, Thanasis
Vravosinos, Orestis
[J]. FINANCE RESEARCH LETTERS, 2018, 27 : 235 - 240

← 1 2 3 4 →