The Cryptocurrency Uncertainty Index

Lucey, Brian M.; Vigne, Samuel; Yarovaya, Larisa; Wang, Yizhi

doi:10.2139/ssrn.3805891

The Cryptocurrency Uncertainty Index

24 Pages Posted: 18 Mar 2021

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: 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