The Cryptocurrency Uncertainty Index

24 Pages Posted: 18 Mar 2021

See all articles by Brian M. Lucey

Brian M. Lucey

Trinity Business School, Trinity College Dublin; Ho Chi Minh City University of Economics and Finance; Jiangxi University of Finance and Economics

Samuel Vigne

Trinity College (Dublin) - Trinity Business School

Larisa Yarovaya

University of Southampton - Southampton Business School

Yizhi Wang

Trinity College (Dublin) - Trinity Business School

Date Written: March 16, 2021

Abstract

We develop and make available a new Cryptocurrency Uncertainty Index (UCRY) based on news coverage. Our UCRY Index captures two types of the uncertainty: cryptocurrency price uncertainty (UCRY Price) and cryptocurrency policy uncertainty (UCRY Policy). We show that the constructed index has distinct movements around major events in cryptocurrency space. We suggest that this index captures uncertainty beyond Bitcoin, and can be used for academic, policy, and practice-driven research.

Keywords: Cryprocurrencies, policy and price uncertainty,uncertainty index, Cryptocurrency Uncertainty Index,

JEL Classification: C43, C54, D80

Suggested Citation

Lucey, Brian M. and Vigne, Samuel and Yarovaya, Larisa and Wang, Yizhi, The Cryptocurrency Uncertainty Index (March 16, 2021). Available at SSRN: https://ssrn.com/abstract=3805891 or http://dx.doi.org/10.2139/ssrn.3805891

Brian M. Lucey (Contact Author)

Trinity Business School, Trinity College Dublin ( email )

The Sutherland Centre, Level 6, Arts Building
Dublin 2
Ireland
+353 1 608 1552 (Phone)
+353 1 679 9503 (Fax)

Ho Chi Minh City University of Economics and Finance ( email )

59C Nguyen Dình Chieu
6th Ward, District 3
Ho Chi Minh City, Ho Chi Minh 70000
Vietnam

Jiangxi University of Finance and Economics ( email )

South Lushan Road
Nanchang, Jiangxi 330013
China

Samuel Vigne

Trinity College (Dublin) - Trinity Business School ( email )

Aras an Phiarsaigh
College Green
Dublin, Leinster D2
Ireland

Larisa Yarovaya

University of Southampton - Southampton Business School ( email )

Highfield
University Road
Southampton, SO17 1BJ
United Kingdom

Yizhi Wang

Trinity College (Dublin) - Trinity Business School ( email )

Aras an Phiarsaigh
College Green
Dublin, Leinster D2
Ireland

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