US Partisan Conflict and Cryptocurrency Market
27 Pages Posted: 12 May 2020
Date Written: April 17, 2020
This paper investigates whether partisan conflict can predict the cryptocurrency return and volatility. First, we find that the change rate of the partisan conflict can predict positively (negatively) the cryptocurrency return (volatility), Bitcoin in particular. Moreover, the findings still hold when controlling the effect of Chinese economic policy uncertainty (EPU), which is considered a significant predictor for the return and volatility of the Bitcoin. Overall, our results provide evidence to support that the Bitcoin could be a hedged asset against the risk from the U.S. partisan conflict.
Keywords: Bitcoin, Return, Volatility, Partisan Conflict, Economic Policy Uncertainty
JEL Classification: C22, G15, D81
Suggested Citation: Suggested Citation