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Economic policy uncertainty and the Bitcoin-US stock nexus

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  • Mokni, Khaled
  • Ajmi, Ahdi Noomen
  • Bouri, Elie
  • Vo, Xuan Vinh

Abstract

We examine the effect of economic policy uncertainty (EPU) on the dynamic conditional correlations between Bitcoin and the US stock markets while accounting for structural changes in Bitcoin prices. The results indicate a negative effect of EPU on the dynamic conditional correlations between Bitcoin and the US stock markets only after the Bitcoin crash of December 2017. Further analysis shows an increase in the EPU level is associated with an increase in the optimal weight of Bitcoin in the portfolio before the Bitcoin crash. However, EPU exerts a negative (positive) impact on the hedging ratio during low (high) uncertainty levels after the Bitcoin crash. The findings underscore the usefulness of adding Bitcoin to a US stock portfolio, which is in line with previous studies.

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  • Mokni, Khaled & Ajmi, Ahdi Noomen & Bouri, Elie & Vo, Xuan Vinh, 2020. "Economic policy uncertainty and the Bitcoin-US stock nexus," Journal of Multinational Financial Management, Elsevier, vol. 57.
    • Handle: RePEc:eee:mulfin:v:57-58:y:2020:i::s1042444x20300451
    DOI: 10.1016/j.mulfin.2020.100656
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