What drives Bitcoin’s price crash risk?

Antonios Kalyvas, Panayiotis Papakyriakou, Athanasios Sakkas and Andrew Urquhart

Economics Letters, 2020, vol. 191, issue C

Abstract: We examine the association of the Bitcoin price crash risk with economic uncertainty and behavioral factors. We show that economic uncertainty displays a negative and significant association with Bitcoin price crash risk, indicating that when economic uncertainty is high, the crash risk of Bitcoin is low. We also find that behavioral factors have a weak association with Bitcoin crash risk. Our results suggest that investors can hedge economic uncertainty by investing in Bitcoin.

Keywords: Bitcoin; Crash risk; EPU; VIX; VSTOXX; Behavioral factors (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (28)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:191:y:2020:i:c:s0165176519303908

DOI: 10.1016/j.econlet.2019.108777

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