What Drives Bitcoin’s Price Crash Risk?
Economics Letters, Forthcoming
11 Pages Posted: 2 Nov 2019
Date Written: October 19, 2019
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
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