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 |
| Divisions: | Divisions > Kent Business School - Division > Department of Accounting and Finance |
| Funders: | University of Southampton (https://ror.org/01ryk1543) |
| Depositing User: | Nikolaos Antonios Kalyvas |
| Date Deposited: | 19 Apr 2023 09:44 UTC |
| Last Modified: | 21 Apr 2023 14:42 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
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| CReDIT Contributor Roles: |
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