Effects of the geopolitical risks on Bitcoin returns and volatility

By Ahmet Faruk Aysan, Ender Demir, Giray Gozgor, Chi Keung Marco Lau. Research In International Business and Finance, 2019

335 citations recorded by the source corpus.

Abstract This paper investigates the predictive power of global geopolitical risks (GPR) index on daily returns and price volatility of Bitcoin over the period July 18, 2010–May 31, 2018. Considering Bayesian Graphical Structural Vector Autoregressive (BSGVAR) technique, we find that GPR has a predictive power on both returns and volatility of Bitcoin. The results of the Ordinary Least Squares (OLS) estimations show that price volatility and returns of Bitcoin are positively and negatively related to the GPR, respectively. However, findings from the Quantile-on-Quantile (QQ) estimations state that the effects are positive at the higher quantiles of both the GPR as well as the price volatility and the returns of Bitcoin. Therefore, we conclude that Bitcoin can be considered as a hedging tool against global geopolitical risks.

Subfields: Economics and Econometrics, Information Systems, Sociology and Political Science

View Paper: https://www.semanticscholar.org/paper/feb48f1e445006a241c244733c7cf0dc96bf5d05

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Ender Demir
2. Giray Gozgor
3. Aviral Kumar Tiwari
4. Sagi Akron
5. Muhammad Shahbaz
6. Ahmet Sensoy
7. Shaen Corbet
8. Ilhan Ozturk

In Information Systems

1. Giray Gozgor
2. Ender Demir
3. Aviral Kumar Tiwari
4. Ahmet Sensoy

In Sociology and Political Science

1. Ender Demir
2. Giray Gozgor
3. Aviral Kumar Tiwari

Citations in the corpus

• Safe haven or risky hazard? Bitcoin during the Covid-19 bear market (2020, neutral): “3 In recent years, the growing popularity of cryptocurrencies has inspired numerous studies of their diversification, hedging and safe haven properties (Urquhart and Zhang, 2019; Smales, 2019; Shahzad et al., 2019; Kliber et al., 2019; Guesmi et al., 2019; Aysan et al., 2019; Corbet et al., 2018b; B”
• Taming the blockchain beast? Regulatory implications for the cryptocurrency Market (2020, neutral): “higher returns, implying the hedging potential of cryptocurrencies (Aysan et al., 2019).”
• The relationship between Bitcoin returns and trade policy uncertainty (2019, methodology): “By using the Bayesian Graphical Structural Vector Autoregressive (BSGVAR) technique, Aysan et al. (2019) show that geopolitical risks (GPR) can predict Bitcoin returns and the price volatility. Different from the OLS estimations, the Quantile-on-Quantile (Q-Q) estimations show that geopolitical risk”