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What drives Bitcoin’s price crash risk?

What drives Bitcoin’s price crash risk?
What drives Bitcoin’s price crash risk?
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.
0165-1765
Kalyvas, Nikolaos
b90c20b2-9fd4-4d5d-a123-34a193e1ca1d
Papakyriakou, Panayiotis
71bed450-1b8e-4a9c-a393-60017c63b2d4
Sakkas, Athanasios
5a69d77a-fcea-4e07-bc18-5a8934a4899b
Urquhart, Andrew J.
ee369df1-95b5-4cdf-bc24-f1be77357c03
Kalyvas, Nikolaos
b90c20b2-9fd4-4d5d-a123-34a193e1ca1d
Papakyriakou, Panayiotis
71bed450-1b8e-4a9c-a393-60017c63b2d4
Sakkas, Athanasios
5a69d77a-fcea-4e07-bc18-5a8934a4899b
Urquhart, Andrew J.
ee369df1-95b5-4cdf-bc24-f1be77357c03

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
ISSN: 0165-1765
PURE UUID: 3c650dd0-d406-46fc-975c-9921ecd29ee2
ORCID for Nikolaos Kalyvas: ORCID iD orcid.org/0000-0003-4416-7032
ORCID for Panayiotis Papakyriakou: ORCID iD orcid.org/0000-0001-7429-8063
ORCID for Athanasios Sakkas: ORCID iD orcid.org/0000-0001-5348-3382
ORCID for Andrew J. Urquhart: ORCID iD orcid.org/0000-0001-8834-4243

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Date deposited: 23 Oct 2019 16:30
Last modified: 28 Apr 2022 06:29

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Contributors

Author: Athanasios Sakkas ORCID iD
Author: Andrew J. Urquhart ORCID iD

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