Business conditions, uncertainty shocks and Bitcoin returns
Yong Jiang (),
Dan-Yan Wen () and
Xiao-guang Yang ()
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Yong Jiang: Nanjing Audit University
Dan-Yan Wen: Nanjing University of Science and Technology
Xiao-guang Yang: Chinese Academy of Sciences
Evolutionary and Institutional Economics Review, 2020, vol. 17, issue 2, No 9, 415-424
Abstract 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.
Keywords: Bitcoin; US business condition; Global geopolitical risk; US equity market uncertainty; Causality test; Quantile regression (search for similar items in EconPapers)
JEL-codes: C32 D81 G15 (search for similar items in EconPapers)
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