Economics at your fingertips  

Jumps in Geopolitical Risk and the Cryptocurrency Market: The Singularity of Bitcoin

Elie Bouri (), Rangan Gupta () and Xuan Vo ()
Additional contact information
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

Abstract: 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
Date: 2020-02
New Economics Papers: this item is included in nep-pay, nep-rmg and nep-sea
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this paper

More papers in Working Papers from University of Pretoria, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Rangan Gupta ().

Page updated 2020-09-21
Handle: RePEc:pre:wpaper:202015