Does uncertainty predict cryptocurrency returns? A copula-based approach

Ur Koumba; Calvin Mudzingiri; Jules Mba

doi:10.1080/17520843.2019.1650090

Does uncertainty predict cryptocurrency returns? A copula-based approach

Ur Koumba, Calvin Mudzingiri, Jules Mba

School of Economics

University of The Free State

Research output: Contribution to journal › Article › peer-review

22 Citations (Scopus)

Abstract

This study is confined in analysing how the economic policy uncertainty (EPU) effects affect exchange rates on cryptocurrency assets in times of financial turbulence characterized by low confidence in the financial stock markets, and tranquil periods where the financial stock markets behave smoothly. Our research employs the D-Vine pair-copula method on daily selected cryptocurrency (Bitcoin, Ethereum and Ripple) prices within the period of the 10 August 2016 to the 23 February 2018. Our findings document the presence of the dependence between the US EPU and cryptocurrencies and indicate a significant correlation with Ethereum which exhibits a much better return.

Original language	English
Pages (from-to)	67-88
Number of pages	22
Journal	Macroeconomics and Finance in Emerging Market Economies
Volume	13
Issue number	1
DOIs	https://doi.org/10.1080/17520843.2019.1650090
Publication status	Published - 2 Jan 2020

Keywords

Cryptocurrency
copula
dependence structure
policy uncertainty

ASJC Scopus subject areas

Finance
Economics and Econometrics

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10.1080/17520843.2019.1650090

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Does uncertainty predict cryptocurrency returns? A copula-based approach

Abstract

Keywords

ASJC Scopus subject areas

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