Does uncertainty predict cryptocurrency returns? A copula-based approach

被引：20

作者：

Koumba, Ur ^{[1
]}

Mudzingiri, Calvin ^{[2
]}

Mba, Jules ^{[3
]}

机构：

[1] Univ Free State, Math & Appl Math, Bloemfontein, South Africa

[2] Univ Free State, Econ & Finance, Bloemfontein, South Africa

[3] Univ Johannesburg, Pure & Appl Math, Johannesburg, South Africa

来源：

MACROECONOMICS AND FINANCE IN EMERGING MARKET ECONOMIES | 2020年 / 13卷 / 01期

关键词：

Cryptocurrency; copula; dependence structure; policy uncertainty; EXCHANGE-RATE; POLICY UNCERTAINTY; SENTIMENT; BITCOIN;

D O I：

10.1080/17520843.2019.1650090

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This study is confined in analysing how the economic policy uncertainty (EPU) effects affect exchange rates on cryptocurrency assets in times of financial turbulence characterized by low confidence in the financial stock markets, and tranquil periods where the financial stock markets behave smoothly. Our research employs the D-Vine pair-copula method on daily selected cryptocurrency (Bitcoin, Ethereum and Ripple) prices within the period of the 10 August 2016 to the 23 February 2018. Our findings document the presence of the dependence between the US EPU and cryptocurrencies and indicate a significant correlation with Ethereum which exhibits a much better return.

引用

页码：67 / 88

页数：22

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