Geopolitical Risks and Cryptocurrency Returns

54 Pages Posted: 13 May 2024

See all articles by Hakan Yilmazkuday

Hakan Yilmazkuday

Florida International University (FIU) - Department of Economics

Date Written: October 08, 2024

Abstract

This study examines how global geopolitical risks, threats, and acts impact the daily returns of ten major cryptocurrencies (BTC, ETH, USDT, XRP, BNB, USDC, BCH, DOGE, LTC, ADA). The statistically significant results that are robust to the consideration of alternative model specifications and control variables suggest that there is strong evidence for (i) ETH, XRP, BNB and BCH responding negatively to the shocks of geopolitical risks, (ii) BTC, ETH, BNB, BCH, LTC and ADA responding negatively to the shocks of geopolitical threats, and (iii) all ten cryptocurrencies not responding to the shocks of geopolitical acts. As these ten cryptocurrencies do not respond positively to any of the three shocks in a robust and statistically significant way either, it is implied that none of them offer a reliable hedge against geopolitical risks.

Keywords: Geopolitical Risks, Cryptocurrency Returns, Local Projections Method

JEL Classification: C32, G15, G41

Suggested Citation

Yilmazkuday, Hakan, Geopolitical Risks and Cryptocurrency Returns (October 08, 2024). Available at SSRN: https://ssrn.com/abstract=4825774 or http://dx.doi.org/10.2139/ssrn.4825774

Hakan Yilmazkuday (Contact Author)

Florida International University (FIU) - Department of Economics ( email )

11200 SW 8th Street
Miami, FL 33199
United States

HOME PAGE: http://faculty.fiu.edu/~hyilmazk/

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