GEOPOLITICS, UNCERTAINTY, AND CRYPTOCURRENCY: A LOVE TRIANGLE GONE WRONG
This study aims to investigate the spillover effects from geopolitical risks (proxied by the geopolitical risk index GPRD) and cryptocurrencies-related uncertainty (proxied by the Cryptocurrency Uncertainty Index UCRY) to cryptocurrencies. We utilize the Baruník and Křehlík (2018) framework to dete...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Tuwhera Open Access Publisher
2024-03-01
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| Series: | Applied Finance Letters |
| Online Access: | https://ojs.aut.ac.nz/applied-finance-letters/article/view/699 |
| _version_ | 1797242617918914560 |
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| author | Leila Dagher Amar Rao Dagar Vishal Olatunji Shobande |
| author_facet | Leila Dagher Amar Rao Dagar Vishal Olatunji Shobande |
| author_sort | Leila Dagher |
| collection | DOAJ |
| description |
This study aims to investigate the spillover effects from geopolitical risks (proxied by the geopolitical risk index GPRD) and cryptocurrencies-related uncertainty (proxied by the Cryptocurrency Uncertainty Index UCRY) to cryptocurrencies. We utilize the Baruník and Křehlík (2018) framework to detect time-frequency connectedness. Our investigation for the period 2017 to 2022 discovers significant spillover effects from both indices (GPRD and UCRY) to cryptocurrencies. Utilizing the information transmission theory and network graphs, our findings reveal that some cryptocurrencies function as net receivers of spillovers from geopolitical risks and uncertainty in the short-term, while over longer time horizons they transform into net transmitters of spillovers to uncertainty. The study underscores the importance of comprehending how uncertainty due to various factors (geopolitical, policy changes, regulatory changes, etc.) could affect the cryptocurrencies’ markets.
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| first_indexed | 2024-04-24T18:42:05Z |
| format | Article |
| id | doaj.art-76894f7fb0204c14b841c70d586e6c2d |
| institution | Directory Open Access Journal |
| issn | 2253-5799 2253-5802 |
| language | English |
| last_indexed | 2024-04-24T18:42:05Z |
| publishDate | 2024-03-01 |
| publisher | Tuwhera Open Access Publisher |
| record_format | Article |
| series | Applied Finance Letters |
| spelling | doaj.art-76894f7fb0204c14b841c70d586e6c2d2024-03-27T11:06:37ZengTuwhera Open Access PublisherApplied Finance Letters2253-57992253-58022024-03-011310.24135/afl.v13i.699GEOPOLITICS, UNCERTAINTY, AND CRYPTOCURRENCY: A LOVE TRIANGLE GONE WRONGLeila Dagher0Amar RaoDagar VishalOlatunji Shobandeamerican university of beirut This study aims to investigate the spillover effects from geopolitical risks (proxied by the geopolitical risk index GPRD) and cryptocurrencies-related uncertainty (proxied by the Cryptocurrency Uncertainty Index UCRY) to cryptocurrencies. We utilize the Baruník and Křehlík (2018) framework to detect time-frequency connectedness. Our investigation for the period 2017 to 2022 discovers significant spillover effects from both indices (GPRD and UCRY) to cryptocurrencies. Utilizing the information transmission theory and network graphs, our findings reveal that some cryptocurrencies function as net receivers of spillovers from geopolitical risks and uncertainty in the short-term, while over longer time horizons they transform into net transmitters of spillovers to uncertainty. The study underscores the importance of comprehending how uncertainty due to various factors (geopolitical, policy changes, regulatory changes, etc.) could affect the cryptocurrencies’ markets. https://ojs.aut.ac.nz/applied-finance-letters/article/view/699 |
| spellingShingle | Leila Dagher Amar Rao Dagar Vishal Olatunji Shobande GEOPOLITICS, UNCERTAINTY, AND CRYPTOCURRENCY: A LOVE TRIANGLE GONE WRONG Applied Finance Letters |
| title | GEOPOLITICS, UNCERTAINTY, AND CRYPTOCURRENCY: A LOVE TRIANGLE GONE WRONG |
| title_full | GEOPOLITICS, UNCERTAINTY, AND CRYPTOCURRENCY: A LOVE TRIANGLE GONE WRONG |
| title_fullStr | GEOPOLITICS, UNCERTAINTY, AND CRYPTOCURRENCY: A LOVE TRIANGLE GONE WRONG |
| title_full_unstemmed | GEOPOLITICS, UNCERTAINTY, AND CRYPTOCURRENCY: A LOVE TRIANGLE GONE WRONG |
| title_short | GEOPOLITICS, UNCERTAINTY, AND CRYPTOCURRENCY: A LOVE TRIANGLE GONE WRONG |
| title_sort | geopolitics uncertainty and cryptocurrency a love triangle gone wrong |
| url | https://ojs.aut.ac.nz/applied-finance-letters/article/view/699 |
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