Jumps in Geopolitical Risk and the Cryptocurrency Market: The Singularity of Bitcoin
Elie Bouri (),
Rangan Gupta () and
Xuan Vo ()
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Xuan Vo: University of Economics Ho Chi Minh City, Ho Chi Minh City, Vietnam
No 202015, Working Papers from University of Pretoria, Department of Economics
Are price discontinuities in cryptocurrencies jointly related to large swings in geopolitical risk? This is a relevant question to answer given recent news from the press that Bitcoin’s large price swings are driven by large swings in the level of geopolitical risk. We answer this question by examining first the jump incidence of daily returns for Bitcoin and other leading cryptocurrencies via the application of the approach of Laurent et al. (2016) and then by studying the co-jumps using logistic regressions. Preliminary results show that the price behaviour of all cryptocurrencies under study is jumpy. Further analyses show reasonable evidence to imply that co-jumps are significant for the case of Bitcoin only. This finding nicely complements previous studies arguing that Bitcoin is a hedge against geopolitical risk.
Keywords: Geopolitical risk; Bitcoin; Cryptocurrencies; Jumps; GARCH (search for similar items in EconPapers)
Pages: 15 pages
New Economics Papers: this item is included in nep-pay, nep-rmg and nep-sea
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Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:202015
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