Download This PaperWhat Drives Bitcoin’s Price Crash Risk?
Economics Letters, Forthcoming
11 Pages Posted: 2 Nov 2019
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: 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
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