What Drives Bitcoin’s Price Crash Risk?

Economics Letters, Forthcoming

11 Pages Posted: 2 Nov 2019

See all articles by Antonios Nikolaos Kalyvas

Antonios Nikolaos Kalyvas

Department of Banking and Finance, Southampton Business School, University of Southampton

Panayiotis Papakyriakou

University of Southampton - Department of Banking and Finance

Athanasios Sakkas

University of Nottingham

Andrew Urquhart

ICMA Centre, Henley Business School

Date Written: October 19, 2019

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.

Keywords: Bitcoin, Crash Risk, EPU, VIX, VSTOXX, Behavioral Factors

Suggested Citation

Kalyvas, Antonios Nikolaos and Papakyriakou, Panayiotis and Sakkas, Athanasios and Urquhart, Andrew, What Drives Bitcoin’s Price Crash Risk? (October 19, 2019). Economics Letters, Forthcoming, Available at SSRN: https://ssrn.com/abstract=3474550 or http://dx.doi.org/10.2139/ssrn.3474550

Antonios Nikolaos Kalyvas (Contact Author)

Department of Banking and Finance, Southampton Business School, University of Southampton ( email )

Southampton, SO17 1BJ
United Kingdom

Panayiotis Papakyriakou

University of Southampton - Department of Banking and Finance ( email )

Southampton
United Kingdom

Athanasios Sakkas

University of Nottingham ( email )

Nottingham University Business School
Jubilee Campus
Nottingham, NG8 1BB
United Kingdom

Andrew Urquhart

ICMA Centre, Henley Business School ( email )

University of Reading
Whiteknights
Reading, Berkshire RG6 6BA
United Kingdom

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