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What drives Bitcoin’s price crash risk?

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Kalyvas, A., Papakyriakou, P., Sakkas, A. and Urquhart, A. orcid id iconORCID: https://orcid.org/0000-0001-8834-4243 (2020) What drives Bitcoin’s price crash risk? Economics Letters, 191. 108777. ISSN 0165-1765 doi: 10.1016/j.econlet.2019.108777

Abstract/Summary

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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Item Type Article
URI https://reading-clone.eprints-hosting.org/id/eprint/86923
Identification Number/DOI 10.1016/j.econlet.2019.108777
Refereed Yes
Divisions Henley Business School > Finance and Accounting
Publisher Elsevier
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