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The cryptocurrency uncertainty index

Author

Listed:
  • Lucey, Brian M.
  • Vigne, Samuel A.
  • Yarovaya, Larisa
  • Wang, Yizhi

Abstract

We have developed and made available a new Cryptocurrency Uncertainty Index (UCRY) based on news coverage. Our UCRY Index captures two types of uncertainty: that of the price of cryptocurrency (UCRY Price) and uncertainty of cryptocurrency policy (UCRY Policy). We show that the constructed index exhibits 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.

Suggested Citation

  • Lucey, Brian M. & Vigne, Samuel A. & Yarovaya, Larisa & Wang, Yizhi, 2022. "The cryptocurrency uncertainty index," Finance Research Letters, Elsevier, vol. 45(C).
    • Handle: RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321002282
    DOI: 10.1016/j.frl.2021.102147
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    References listed on IDEAS

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    More about this item

    Keywords

    Cryprocurrencies; Policy and price uncertainty; Uncertainty index; Cryptocurrency uncertainty index;
    All these keywords.

    JEL classification:

    • C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation
    • C54 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Quantitative Policy Modeling
    • D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General

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