The determinants of Bitcoin returns and volatility: Perspectives on global and national economic policy uncertainty

被引：34
|
作者：
Wu, Chang-Che [1 ]
Ho, Shu-Ling [2 ]
Wu, Chih-Chiang [3 ]
机构：
[1] Yango Univ, Coll Business, Fuzhou, Peoples R China
[2] Yuan Ze Univ, Coll Management, Taoyuan, Taiwan
[3] Yuan Ze Univ, Coll Management, Discipline Finance, 135 Yuan Tung Rd, Taoyuan, Taiwan
来源：
FINANCE RESEARCH LETTERS | 2022年 / 45卷
关键词：
National economic policy uncertainty; Bitcoin return; Bitcoin long-term volatility; GARCH-MIDAS; MOVEMENTS; MARKETS; PREDICT; GOLD;
D O I：
10.1016/j.frl.2021.102175
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This study investigates the impact of global and national economic policy uncertainty (EPU) on Bitcoin returns and long-term volatility based on the MIDAS framework. Similar results were found for global and national EPUs, where most national EPUs are positively related to Bitcoin returns but negatively related to Bitcoin long-term volatility. China's EPU provides a better explanatory ability than global and other national EPUs. Additionally, the hedging capability and long-term volatility of Bitcoin are more sensitive to Japan's EPU. Overall, our findings explain to investors that national uncertainties are essential criteria to guide Bitcoin investment decisions.
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页数：7
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