What drives Bitcoin's price crash risk?

Kalyvas, A.N., Papakyriakou, P., Sakkas, A., Urquhart, A. (2020) What drives Bitcoin's price crash risk? Economics Letters, 191 . (doi:10.1016/j.econlet.2019.108777) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:100408)

The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided.
Contact us about this publication
Official URL: https://dx.doi.org/10.1016/j.econlet.2019.108777

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. © 2019 Elsevier B.V.

Item Type:	Article
DOI/Identification number:	10.1016/j.econlet.2019.108777
Uncontrolled keywords:	Bitcoin; Crash risk; EPU; VIX; VSTOXX; Behavioral factors
Subjects:	H Social Sciences
Institutional Unit:	Schools > Kent Business School
Former Institutional Unit:	Divisions > Kent Business School - Division > Department of Accounting and Finance
Funders:	Prifysgol Southampton (https://ror.org/01ryk1543)
Depositing User:	Nikolaos Antonios Kalyvas
Date Deposited:	19 Apr 2023 09:44 UTC
Last Modified:	22 Jul 2025 09:14 UTC
Resource URI:	https://kar.kent.ac.uk/id/eprint/100408 (The current URI for this page, for reference purposes)

University of Kent Author Information

Kalyvas, A.N..

Creator's ORCID:	https://orcid.org/0000-0003-4416-7032
CReDIT Contributor Roles:

Depositors only (login required):

Altmetric

Total Views

Total unique views of this page since July 2020. For more details click on the image.