Business conditions, uncertainty shocks and Bitcoin returns

被引：0
|
作者：
Yong Jiang
Gang-Jin Wang
Dan-Yan Wen
Xiao-guang Yang
机构：
[1] Nanjing Audit University,School of Finance
[2] Hunan University,Business School and Center for Finance and Investment Management
[3] Nanjing University of Science and Technology,School of Economics and Management
[4] Chinese Academy of Sciences,Academy of Mathematics and Systems Science
来源：
Evolutionary and Institutional Economics Review | 2020年 / 17卷
关键词：
Bitcoin; US business condition; Global geopolitical risk; US equity market uncertainty; Causality test; Quantile regression; G15; C32; D81;
D O I：
暂无
中图分类号：
学科分类号：
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：9
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