Fang, LibingBouri, ElieGupta, RanganRoubaud, David2019-01-172019-01Fang, L., Bouri, E., Gupta, R. & Roubaud, D. 2019, 'Does global economic uncertainty matter for the volatility and hedging effectiveness of Bitcoin?', International Review of Financial Analysis, vol. 61, pp. 29-36.1057-5219 (print)1873-8079 (online)10.1016/j.irfa.2018.12.010http://hdl.handle.net/2263/68172We assess whether the long-run volatilities of Bitcoin, global equities, commodities, and bonds are affected by global economic policy uncertainty. Empirical results provide evidence supporting this hypothesis, except in the case of bonds. For Bitcoin investors, the results imply the ability to use information about the state of global economic uncertainty to enhance the predictions of Bitcoin volatility. We further examine whether the correlation between Bitcoin and global equities, commodities, and bonds are affected by global economic policy uncertainty. Empirical results reveal that global economic policy uncertainty has a negative significant impact on the Bitcoin-bonds correlation and a positive impact on both Bitcoin-equities and Bitcoin-commodities correlations, suggesting the possibility of Bitcoin acting as a hedge under specific economic uncertainty conditions. Interestingly, the hedging effectiveness of Bitcoin for both global equities and global bonds enhances slightly after considering the level of global economic policy uncertainty. Such a weak effect of the state of global economic uncertainty on the hedging ability of Bitcoin implies that investors cannot substantially enhance the hedging performance of Bitcoin under different economic uncertainty conditions.en© 2018 Elsevier Inc. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in International Review of Financial Analysis. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. A definitive version was subsequently published in International Review of Financial Analysis, vol. 61, pp. 29-36, 2019. doi : 10.1016/j.irfa.2018.12.010.BitcoinBondsCommoditiesEquitiesHedging effectivenessPostprint Article