Economic policy uncertainty and the Bitcoin-US stock nexus

被引：62

作者：

Mokni, Khaled ^{[1
,2
]}

Ajmi, Ahdi Noomen ^{[3
,4
]}

Bouri, Elie ^{[5
,6
]}

Xuan Vinh Vo ^{[6
,7
]}

机构：

[1] Northern Border Univ, Coll Business Adm, Ar Ar 91431, Saudi Arabia

[2] Gabes Univ, Inst Super Gest Gabes, Gabes 6002, Tunisia

[3] Prince Sattam bin Abdulaziz Univ, Coll Sci & Humanities Slayel, Dept Business Adm, Al Kharj, Saudi Arabia

[4] Manouba Univ, ESC Tunis, Manouba, Tunisia

[5] Lebanese Amer Univ, Adnan Kassar Sch Business, Beirut, Lebanon

[6] Univ Econ Ho Chi Minh City, Inst Business Res, Ho Chi Minh City, Vietnam

[7] Univ Econ Ho Chi Minh City, CFVG, Ho Chi Minh City, Vietnam

来源：

JOURNAL OF MULTINATIONAL FINANCIAL MANAGEMENT | 2020年 / 57-58卷

关键词：

Bitcoin; Stock market; Economic policy uncertainty; Dynamic conditional correlations; VOLATILITY TRANSMISSION; CO-MOVEMENTS; MARKETS; COMMODITY; RETURNS; PREDICT; SHOCKS; MATTER; OIL;

D O I：

10.1016/j.mulfin.2020.100656

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We examine the effect of economic policy uncertainty (EPU) on the dynamic conditional correlations between Bitcoin and the US stock markets while accounting for structural changes in Bitcoin prices. The results indicate a negative effect of EPU on the dynamic conditional correlations between Bitcoin and the US stock markets only after the Bitcoin crash of December 2017. Further analysis shows an increase in the EPU level is associated with an increase in the optimal weight of Bitcoin in the portfolio before the Bitcoin crash. However, EPU exerts a negative (positive) impact on the hedging ratio during low (high) uncertainty levels after the Bitcoin crash. The findings underscore the usefulness of adding Bitcoin to a US stock portfolio, which is in line with previous studies. (C) 2020 Elsevier B.V. All rights reserved.

引用

页数：13

共 50 条

[1] US Economic Policy Uncertainty and GCC Stock Market
Alqahtani, Abdullah
Martinez, Miguel
ASIA-PACIFIC FINANCIAL MARKETS, 2020, 27 (03) : 415 - 425
[2] US Economic Policy Uncertainty and GCC Stock Market
Abdullah Alqahtani
Miguel Martinez
Asia-Pacific Financial Markets, 2020, 27 : 415 - 425
[3] Bitcoin attention and economic policy uncertainty
Gill-de-Albornoz, Belen
Lafuente, Juan A.
Monfort, Mercedes
Ordonez, Javier
FINANCE RESEARCH LETTERS, 2024, 60
[4] US ECONOMIC POLICY UNCERTAINTY AND GCC STOCK MARKET PERFORMANCE
Saeed, Abdullah
STUDIES IN BUSINESS AND ECONOMICS, 2020, 15 (01) : 223 - 242
[5] The role of economic policy uncertainty in the US entrepreneurship-unemployment nexus
Payne, James E.
JOURNAL OF ENTREPRENEURSHIP AND PUBLIC POLICY, 2015, 4 (03) : 352 - 366
[6] Pandemic-induced economic policy uncertainty and US stock exchanges
Ongan, Serdar
Gocer, Ismet
Ongan, Ayse
JOURNAL OF PUBLIC AFFAIRS, 2022, 22
[7] US economic policy uncertainty spillover on the stock markets of the GCC countries
Istiak, Khandokar
Alam, Md Rafayet
JOURNAL OF ECONOMIC STUDIES, 2020, 47 (01) : 36 - 50
[8] Economic policy uncertainty as an indicator of abrupt movements in the US stock market
Tzika, Paraskevi
Pantelidis, Theologos
QUARTERLY REVIEW OF ECONOMICS AND FINANCE, 2024, 94 : 93 - 103
[9] Does gold or Bitcoin hedge economic policy uncertainty?
Wu, Shan
Tong, Mu
Yang, Zhongyi
Derbali, Abdelkader
FINANCE RESEARCH LETTERS, 2019, 31 : 171 - 178
[10] Economic policy uncertainty and Bitcoin. Is Bitcoin a safe-haven asset?
Paule-Vianez, Jessica
Prado-Roman, Camilo
Gomez-Martinez, Raul
EUROPEAN JOURNAL OF MANAGEMENT AND BUSINESS ECONOMICS, 2020, 29 (03) : 347 - 363

← 1 2 3 4 5 →