dc.contributor.author |
Bouri, Elie
|
|
dc.contributor.author |
Gupta, Rangan
|
|
dc.contributor.author |
Vo, Xuan Vinh
|
|
dc.date.accessioned |
2021-05-07T09:44:37Z |
|
dc.date.issued |
2022 |
|
dc.description.abstract |
Are price discontinuities in cryptocurrencies jointly related to large swings in geopolitical risk? This is a relevant question to answer given recent news from the press that Bitcoin’s price jumps are driven by jumps in the level of geopolitical risk index. To answer this question, we examine first the jump incidence of daily returns for Bitcoin and other leading cryptocurrencies and then study the co-jumps between cryptocurrencies and the geopolitical risk index using logistic regressions. Our dataset is at the daily frequency and covers the period 30 April 2013 to 31 October 2019. The results show that the price behaviour of all cryptocurrencies under study is jumpy but only Bitcoin jumps are dependent on jumps in the geopolitical risk index. This revealed evidence of significant co-jumps for the case of Bitcoin only nicely complements previous studies arguing that Bitcoin is a hedge against geopolitical risk. |
en_ZA |
dc.description.department |
Economics |
en_ZA |
dc.description.embargo |
2022-05-21 |
|
dc.description.librarian |
hj2021 |
en_ZA |
dc.description.uri |
http://www.tandfonline.com/loi/gdpe20 |
en_ZA |
dc.identifier.citation |
Elie Bouri, Rangan Gupta & Xuan Vinh Vo (2022) Jumps in Geopolitical Risk
and the Cryptocurrency Market: The Singularity of Bitcoin, Defence and Peace Economics, 33:2,
150-161, DOI: 10.1080/10242694.2020.1848285. |
en_ZA |
dc.identifier.issn |
1024-2694 (print) |
|
dc.identifier.issn |
1476-8267 (online) |
|
dc.identifier.other |
10.1080/10242694.2020.1848285 |
|
dc.identifier.uri |
http://hdl.handle.net/2263/79808 |
|
dc.language.iso |
en |
en_ZA |
dc.publisher |
Routledge |
en_ZA |
dc.rights |
© 2020 Informa UK Limited, trading as Taylor & Francis Group.This is an electronic version of an article published in Defence and Peace Economics, vol. 33, no. 2, pp. 150-161, 2022. doi : 10.1080/10242694.2020.1848285. Defence and Peace Economics is available online at : http://www.tandfonline.comloi/gdpe20. |
en_ZA |
dc.subject |
Bitcoin |
en_ZA |
dc.subject |
Cryptocurrencies |
en_ZA |
dc.subject |
Jumps |
en_ZA |
dc.subject |
Geopolitical risks (GPRs) |
en_ZA |
dc.subject |
Generalized autoregressive conditional heteroskedasticity (GARCH) |
en_ZA |
dc.title |
Jumps in geopolitical risk and the cryptocurrency market : the singularity of Bitcoin |
en_ZA |
dc.type |
Postprint Article |
en_ZA |