IDEAS home Printed from https://ideas.repec.org/a/mfa/journl/v32y2024i1p101-114.html
   My bibliography  Save this article

Does Uncertainty Indices Impact the Cryptocurrency Market

Author

Listed:
  • Li Yi Thong

    (Labuan Faculty of International Finance, Universiti Malaysia Sabah, Malaysia.)

  • Ricky Chee Jiun Chia

    (Labuan Faculty of International Finance, Universiti Malaysia Sabah, Malaysia.)

  • Mohd Fahmi Ghazali

    (Faculty of Economics and Management, Universiti Kebangsaan Malaysia, Malaysia.)

Abstract

Research Question: Does uncertainty indices have impact on cryptocurrency? Motivation: Most of the previous study investigate the impact of geopolitical risk and economic policy uncertainty on Bitcoin only and less research investigate the long run and short run relationship between the uncertainty indices and cryptocurrency. Hence, this study investigates whether the economic policy uncertainty, geopolitical risk and US equity market uncertainty have an impact on Bitcoin, Ethereum and Binance Coin by the multivariate VAR Granger non-causality. Idea: This study applied three different uncertainty indices (geopolitical risk, economic policy uncertainty and US equity market uncertainty) and top three ranking cryptocurrency (Bitcoin, Ethereum and Binance Coin) to investigate and compare the impact of uncertainty indices on cryptocurrency with different uncertainty conditions and applied top three ranking cryptocurrency in cryptocurrency market to reinforce the result. Data: This study applied monthly data with 42 observations which cover the period of December 2017 until May 2021 and data for cryptocurrency extracted from investing.com, while the uncertainty indices from policyuncertainty.com. Method/Tools: This study utilize multivariate VAR Granger non-causality to examine the cointegration relationship between the cryptocurrency and uncertainty indices. Findings: The results show that the economic policy uncertainty, geopolitical risk and US equity market uncertainty cointegrated with Bitcoin, while Binance Coin cointegrated with geopolitical risk only. Hence, the economic policy uncertainty, geopolitical risk and US equity market uncertainty plays a vital role in the Bitcoin prediction and geopolitical risk plays an important role to forecast the Binance Coin. Contributions: The Bitcoin investors may focus on the changes in economic policy uncertainty, geopolitical risk and US equity market uncertainty to predict the Bitcoin return, and Binance Coin investors focus on the geopolitical risk.

Suggested Citation

  • Li Yi Thong & Ricky Chee Jiun Chia & Mohd Fahmi Ghazali, 2024. "Does Uncertainty Indices Impact the Cryptocurrency Market," Capital Markets Review, Malaysian Finance Association, vol. 32(1), pages 101-114.
    • Handle: RePEc:mfa:journl:v:32:y:2024:i:1:p:101-114
    as

    Download full text from publisher

    File URL: https://www.mfa.com.my/wp-content/uploads/2024/03/v32_i1_a5_pg101-114.pdf
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Geopolitical risk; economic policy uncertainty; US equity market uncertainty; cryptocurrency.;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G4 - Financial Economics - - Behavioral Finance

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:mfa:journl:v:32:y:2024:i:1:p:101-114. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Capital Market Review (email available below). General contact details of provider: .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.