Business conditions, uncertainty shocks and Bitcoin returns

被引：7
|
作者：
Jiang, Yong [1 ]
Wang, Gang-Jin [2 ,3 ]
Wen, Dan-Yan [4 ]
Yang, Xiao-guang [5 ]
机构：
[1] Nanjing Audit Univ, Sch Finance, Nanjing 211815, Peoples R China
[2] Hunan Univ, Business Sch, Changsha 410082, Peoples R China
[3] Hunan Univ, Ctr Finance & Investment Management, Changsha 410082, Peoples R China
[4] Nanjing Univ Sci & Technol, Sch Econ & Management, Nanjing 210094, Peoples R China
[5] Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
来源：
EVOLUTIONARY AND INSTITUTIONAL ECONOMICS REVIEW | 2020年 / 17卷 / 02期
基金：
中国国家自然科学基金;
关键词：
Bitcoin; US business condition; Global geopolitical risk; US equity market uncertainty; Causality test; Quantile regression; GOLD; RUN;
D O I：
10.1007/s40844-020-00172-3
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Using a causality test in the frequency domain and a quantile regression model, we examine the impact of the US business conditions and uncertainty shocks (the US equity market uncertainty and global geopolitical risk) on Bitcoin returns. We find that (1) there exists significant causality from the US business condition and uncertainty shocks to Bitcoin returns, and (2) the effects of the US business condition and uncertainty shocks on Bitcoin returns depend on frequency and vary across different market states of Bitcoin.
引用
收藏
页码：415 / 424
页数：10
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