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The cryptocurrency uncertainty index

The cryptocurrency uncertainty index
The cryptocurrency uncertainty index
We develop and make available a new Cryptocurrency Uncertainty Index (UCRY) based on news coverage. Our UCRY Index captures two types of the uncertainty: cryptocurrency price uncertainty (UCRY Price) and cryptocurrency policy uncertainty (UCRY Policy). We show that the constructed index has distinct movements around major events in cryptocurrency space. We suggest that this index captures uncertainty beyond Bitcoin, and can be used for academic, policy, and practice-driven research.
Cryptocurrencies, policy and price uncertainty, cryptocurrency uncertainty index, uncertainty index
1544-6123
Lucey, Brian M.
ea62416d-8886-4acd-b160-f653aea6c319
Vigne, Samuel
c36a65c5-56b3-4257-97af-395966be099d
Yarovaya, Larisa
2bd189e8-3bad-48b0-9d09-5d96a4132889
Wang, Yizhi
0f22fa5e-d287-4e17-bf87-d6c986e6e5dc
Lucey, Brian M.
ea62416d-8886-4acd-b160-f653aea6c319
Vigne, Samuel
c36a65c5-56b3-4257-97af-395966be099d
Yarovaya, Larisa
2bd189e8-3bad-48b0-9d09-5d96a4132889
Wang, Yizhi
0f22fa5e-d287-4e17-bf87-d6c986e6e5dc

Lucey, Brian M., Vigne, Samuel, Yarovaya, Larisa and Wang, Yizhi (2021) The cryptocurrency uncertainty index. Finance Research Letters. (In Press)

Record type: Article

Abstract

We develop and make available a new Cryptocurrency Uncertainty Index (UCRY) based on news coverage. Our UCRY Index captures two types of the uncertainty: cryptocurrency price uncertainty (UCRY Price) and cryptocurrency policy uncertainty (UCRY Policy). We show that the constructed index has distinct movements around major events in cryptocurrency space. We suggest that this index captures uncertainty beyond Bitcoin, and can be used for academic, policy, and practice-driven research.

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The Cryptocurrency Uncertainty Index (1) - Accepted Manuscript
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More information

Accepted/In Press date: 16 May 2021
Keywords: Cryptocurrencies, policy and price uncertainty, cryptocurrency uncertainty index, uncertainty index

Identifiers

Local EPrints ID: 449566
URI: http://eprints.soton.ac.uk/id/eprint/449566
ISSN: 1544-6123
PURE UUID: 636a3772-1b24-4e48-9a85-fc6cead5412c
ORCID for Larisa Yarovaya: ORCID iD orcid.org/0000-0002-9638-2917

Catalogue record

Date deposited: 08 Jun 2021 16:30
Last modified: 13 Dec 2021 06:35

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Contributors

Author: Brian M. Lucey
Author: Samuel Vigne
Author: Larisa Yarovaya ORCID iD
Author: Yizhi Wang

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