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Abstract In this paper, we investigate whether the economic policy uncertainty (EPU) index provided by Baker et al. (2016) can predict cryptocurrency returns. We show that the EPU index of… Click to show full abstract
Abstract In this paper, we investigate whether the economic policy uncertainty (EPU) index provided by Baker et al. (2016) can predict cryptocurrency returns. We show that the EPU index of China can predict the Bitcoin monthly returns while that of U.S. or other Asian countries has no predictive power. Furthermore, the China EPU index has no predictive power for the other main cryptocurrencies. Moreover, China's ban on crypto-trading affects the returns of Bitcoin only among the main cryptocurrencies.
Keywords:
policy uncertainty;
cryptocurrency;
economic policy;
epu index
Journal Title: Finance Research Letters
Year Published: 2020
Link to full text (if available)
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Journal Title: Finance Research Letters
Year Published: 2020
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!