A comparative analysis of cryptocurrency returns and economic policy uncertainty pre- and post-Covid-19

被引：9

作者：

Umar, Muhammad ^{[1
]}

Shahzad, Fakhar ^{[2
]}

Ullah, Irfan ^{[3
]}

Fanghua, Tong ^{[4
]}

机构：

[1] East China Jiaotong Univ, Sch Econ & Management, Nanchang, Jiangxi, Peoples R China

[2] Jiangsu Univ, Sch Management, Zhenjiang, Peoples R China

[3] Jiangxi Normal Univ, Nanchang, Jiangxi, Peoples R China

[4] Anqing Normal Univ, Sch Foreign Languages, Anqing, Anhui, Peoples R China

来源：

RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE | 2023年 / 65卷

关键词：

Economic policy uncertainty; Cryptocurrency; Quantile regression; Covid-19; BITCOIN; VOLATILITY; TRUST;

D O I：

10.1016/j.ribaf.2023.101965

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This study analyzes the impact of economic policy uncertainty (EPU) on cryptocurrency returns for a sample of 100 highly capitalized cryptocurrencies from January 2016 to May 2021. The results of the panel data analysis and quantile regression show that increases in global EPU have a positive impact on cryptocurrency returns for lower cryptocurrency returns quantiles and an adverse impact for upper quantiles. In line with the existing literature, the Covid-19 pandemic resulted in higher returns for cryptocurrencies. Inclusion of a Covid-19 dummy in the models strengthened the impact of EPU on cryptocurrency returns. Furthermore, the relationship between the change in EPU and cryptocurrency returns was direct in the pre-Covid-19 period but inverse in the post-Covid-19 period. These results imply that cryptocurrencies act more like traditional financial assets in the post-Covid-19 era.

引用

页数：17

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