The ripple effects of CBDC-related news on Bitcoin returns: Insights from the DCC-GARCH model

被引：10

作者：

Akin, Isik ^{[1
]}

Khan, Muhammad Zubair ^{[2
]}

Hameed, Affan ^{[3
]}

Chebbi, Kaouthar ^{[4
]}

Satiroglu, Hakan ^{[1
]}

机构：

[1] Bath Spa Univ, Bath Business Sch, Newton Pk Campus, Bath, England

[2] Univ Sci & Technol Bannu, Inst Management Sci, Bannu, Pakistan

[3] Univ Arts London, London Coll Fash, Fash Business Sch, London, England

[4] King Faisal Univ, Sch Business, Dept Finance, Al Hasa, Saudi Arabia

来源：

RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE | 2023年 / 66卷

关键词：

Central Bank Digital Currency (CBDC); CBDC uncertainty index; CBDC attention index; Bitcoin; Cryptocurrencies; Time series; VOLATILITY; ECONOMICS; FUTURE; GOLD;

D O I：

10.1016/j.ribaf.2023.102060

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Central bank digital currencies (CBDCs) have emerged as a potential substitute for current payment methods, and, as such, major announcements, events and policy discussions regarding CBDCs have the potential to influence cryptocurrency returns. In light of this, the present study undertakes an in-depth analysis of the CoinMarketCap data between August 1, 2017 and April 1, 2022 by implementing the dynamic conditional correlation-generalized autoregressive conditional heteroskedasticity (DCC-GARCH) model. The study reveals a noteworthy influence of news and events related to CBDCs on Bitcoin returns. Precisely, CBDC uncertainty index and CBDC attention index have resulted in significant fluctuations in Bitcoin returns, indicating that positive news can result in significant Bitcoin returns. The findings suggest that future expectations of investors regarding cryptocurrencies are shaped by CBDC-related news and events.

引用

页数：16

共 16 条

[1] Bitcoin as a Distinct Asset Class for Hedging and Portfolio Diversification: A DCC-GARCH Model Analysis
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[10] FINANCIAL CONTAGION DURING GLOBAL FINANCIAL CRISIS AND COVID-19 PANDEMIC: THE EVIDENCE FROM DCC-GARCH MODEL
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