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What drives Bitcoin’s price crash risk?

Kalyvas, A., Papakyriakou, P., Sakkas, A. and Urquhart, A. (2020) What drives Bitcoin’s price crash risk? Economics Letters, 191. 108777. ISSN 0165-1765

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To link to this item DOI: 10.1016/j.econlet.2019.108777

Abstract/Summary

We examine the association of the Bitcoin price crash risk with economic uncertainty and behavioral factors. We show that economic uncertainty displays a negative and significant association with Bitcoin price crash risk, indicating that when economic uncertainty is high, the crash risk of Bitcoin is low. We also find that behavioral factors have a weak association with Bitcoin crash risk. Our results suggest that investors can hedge economic uncertainty by investing in Bitcoin.

Item Type:Article
Refereed:Yes
Divisions:Henley Business School > ICMA Centre
ID Code:86923
Publisher:Elsevier

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