Geopolitical risk, uncertainty and Bitcoin investment

被引：107

作者：

Al Mamun, Md ^{[1
]}

Uddin, Gazi Salah ^{[2
]}

Suleman, Muhammad Tahir ^{[3
]}

Kang, Sang Hoon ^{[4
,5
]}

机构：

[1] La Trobe Univ, Dept Econ & Finance, Bundoora, Vic 3086, Australia

[2] Linkoping Univ, Dept Management & Engn, Linkoping, Sweden

[3] Lincoln Univ, Dept Financial & Business Anal, Christchurch, New Zealand

[4] Pusan Natl Univ, Dept Business Adm, Busan 609735, South Korea

[5] Univ South Australia, Sch Commerce, Adelaide, SA, Australia

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2020年 / 540卷

基金：

新加坡国家研究基金会;

关键词：

Bitcoin; Economic policy uncertainty; Geopolitical risk; Risk premia; TIME-SERIES; POLITICAL UNCERTAINTY; SAFE HAVEN; UNIT-ROOT; POLICY; PRICE; VOLATILITY; DIVERSIFIER; ECONOMICS; MOVEMENTS;

D O I：

10.1016/j.physa.2019.123107

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

We investigate the impact of geopolitical risk, global and US economic policy uncertainty on the structure of Bitcoin correlation with various financial and commodities asset classes. We further investigate the impact of the aforementioned factors on the volatility and risk premium of Bitcoin investment. We find that both geopolitical risk and global economic policy uncertainty command a risk premium, particularly in distress market conditions. Moreover, during the period of high policy uncertainty and worsening economic conditions, Bitcoin investors can only hedge their portfolio with gold, not with other financial assets. Our results highlight that the effect of geopolitical risk, global and US economic policy uncertainty is far more significant during unfavorable economic conditions. (C) 2019 Published by Elsevier B.V.

引用

页数：11

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