What drives Bitcoin’s price crash risk?

Kalyvas, Nikolaos, Papakyriakou, Panayiotis, Sakkas, Athanasios and Urquhart, Andrew J. (2019) What drives Bitcoin’s price crash risk? Economics Letters, [108777]. (doi:10.1016/j.econlet.2019.108777).

Record type: Article

Abstract

We examine the association of the Bitcoin price crash risk with economic uncertainty and behavioral factors. We show that economic uncertainty displays a negative and significant association with Bitcoin price crash risk, indicating that when economic uncertainty is high, the crash risk of Bitcoin is low. We also find that behavioral factors have a weak association with Bitcoin crash risk. Our results suggest that investors can hedge economic uncertainty by investing in Bitcoin.

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Accepted/In Press date: 19 October 2019

e-pub ahead of print date: 23 October 2019

Identifiers

Local EPrints ID: 435115

URI: http://eprints.soton.ac.uk/id/eprint/435115

DOI: doi:10.1016/j.econlet.2019.108777

ISSN: 0165-1765

PURE UUID: 3c650dd0-d406-46fc-975c-9921ecd29ee2

ORCID for Nikolaos Kalyvas:

orcid.org/0000-0003-4416-7032

ORCID for Panayiotis Papakyriakou:

orcid.org/0000-0001-7429-8063

ORCID for Athanasios Sakkas:

orcid.org/0000-0001-5348-3382

ORCID for Andrew J. Urquhart:

orcid.org/0000-0001-8834-4243

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Date deposited: 23 Oct 2019 16:30

Last modified: 17 Mar 2024 03:44

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Contributors

Author: Nikolaos Kalyvas

Author: Panayiotis Papakyriakou

Author: Athanasios Sakkas

Author: Andrew J. Urquhart

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