A Principal Component-Guided Sparse Regression Approach for the Determination of Bitcoin Returns

Panagiotidis, Theodore; Stengos, Thanasis; Vravosinos, Orestis

doi:10.2139/ssrn.3510816

Cited by 5 publications

(4 citation statements)

References 10 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“… Colon et al (2020) examine the impact of geopolitical and economic uncertainty on the cryptocurrency market and argue that Bitcoin plays the role of a weak hedge and safe haven against EPU during a bullish market state. Panagiotidis et al (2020) also indicate that EPU is a key variable for Bitcoin.…”

Section: Concepts and Literature Reviewmentioning

confidence: 99%

COVID-19 pandemic and economic policy uncertainty: The first test on the hedging and safe haven properties of cryptocurrencies

Mokni

Ajmi

2022

Research in International Business and Finance

View full text Add to dashboard Cite

show abstract

Section: Concepts and Literature Reviewmentioning

confidence: 99%

COVID-19 pandemic and economic policy uncertainty: The first test on the hedging and safe haven properties of cryptocurrencies

Mokni

Ajmi

2022

Research in International Business and Finance

View full text Add to dashboard Cite

show abstract

“…In [31] and [32] a continuous time model for Bitcoin price dynamics is studied in order to detect bubbles; regarding the existence of a bubble, in [33] it is proved it holds from early 2013 to mid 2014, but, not in late 2017 as it was supposed. Evidence of bubbly Bitcoin behavior, mainly in the 2017-2018 period, is shown in [34], where it is also proved that economic policy uncertainty and stock market volatility play the most important role in bitcoin values.…”

Section: Introductionmentioning

confidence: 95%

Bitcoin Analysis and Forecasting Through Fuzzy Transform

Guerra¹,

Sorini²,

Stefanini³

2020

Preprint

View full text Add to dashboard Cite

show abstract

“…Baker et al ’s (2016) economic policy uncertainty (EPU) Index has recently drawn much attention, partially due to a number of major event bursts, such as the Sino-US trade conflict, COVID-19 and the Russia–Ukraine conflict. EPU is considered an important factor in the cryptocurrency market (Fang et al , 2019; Wang et al , 2019; Panagiotidis et al , 2019; Cheng and Yen, 2020; Yen and Cheng, 2021). And therefore, the other nature of money, the legal and the economic determinants have an association with the cryptocurrency market (Yuneline, 2019; Huynh et al , 2021).…”

Section: Introductionmentioning

confidence: 99%

The effect of policy uncertainty on the volatility of bitcoin

Mahjoubi,

Henchiri

2024

JFEP

View full text Add to dashboard Cite

Purpose This paper aims to investigate the effect of the economic policy uncertainty (EPU), geopolitical risk (GPR) and climate policy uncertainty (CPU) of USA on Bitcoin volatility from August 2010 to August 2022. Design/methodology/approach In this paper, the authors have adopted the empirical strategy of Yen and Cheng (2021), who modified volatility model of Wang and Yen (2019), and the authors use an OLS regression with Newey-West error term. Findings The results using OLS regression with Newey–West error term suggest that the cryptocurrency market could have hedge or safe-haven properties against EPU and geopolitical uncertainty. While the authors find that the CPU has a negative impact on the volatility of the bitcoin market. Hence, the authors expect climate and environmental changes, as well as indiscriminate energy consumption, to play a more important role in increasing Bitcoin price volatility, in the future. Originality/value This study has two implications. First, to the best of the authors’ knowledge, the study is the first to extend the discussion on the effect of dimensions of uncertainty on the volatility of Bitcoin. Second, in contrast to previous studies, this study can be considered as the first to examine the role of climate change in predicting the volatility of bitcoin. This paper contributes to the literature on volatility forecasting of cryptocurrency in two ways. First, the authors discuss volatility forecasting of Bitcoin using the effects of three dimensions of uncertainty of USA (EPU, GPR and CPU). Second, based on the empirical results, the authors show that cryptocurrency can be a good hedging tool against EPU and GPR risk. But the cryptocurrency cannot be a hedging tool against CPU risk, especially with the high risks and climatic changes that threaten the environment.

show abstract

A Principal Component-Guided Sparse Regression Approach for the Determination of Bitcoin Returns

Cited by 5 publications

References 10 publications

COVID-19 pandemic and economic policy uncertainty: The first test on the hedging and safe haven properties of cryptocurrencies

COVID-19 pandemic and economic policy uncertainty: The first test on the hedging and safe haven properties of cryptocurrencies

Bitcoin Analysis and Forecasting Through Fuzzy Transform

The effect of policy uncertainty on the volatility of bitcoin

Contact Info

Product

Resources

About