How does Bitcoin react to economic discomfort ? Evidence from the economic index

Sinda Hadhri ()
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Sinda Hadhri: UR CONFLUENCE : Sciences et Humanités (EA 1598) - UCLy - UCLy (Lyon Catholic University), ESDES - ESDES, Lyon Business School - UCLy - UCLy - UCLy (Lyon Catholic University)

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Abstract: Does Bitcoin love Misery? This paper answers this question by examining the relationship between Economic Discomfort as measured by the Barro (1999) misery index and Bitcoin fundamentals and finds that lagged Barro misery index significantly increases trading volume. The effect on Bitcoin volatility is ositively significant with two month-delay but seems to revert as time elapses. Bitcoin returns are less predictable based on past misery. These findings are confirmed for the period of the Covid-19 pandemic.

Keywords: Financial markets; Macroeconomy; Economic misery; Economic discomfort; Cryptocurrencies; Bitcoin (search for similar items in EconPapers)
Date: 2023-09
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Published in Economics Bulletin, 2023, 43 (3), pp.1235-1253

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-05240429

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