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GEOPOLITICS, UNCERTAINTY, AND CRYPTOCURRENCY: A LOVE TRIANGLE GONE WRONG

Leila Dagher et al.

Applied Finance Letters2024https://doi.org/10.24135/afl.v13i.699article
ABDC B
Weight
0.73

Abstract

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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https://doi.org/https://doi.org/10.24135/afl.v13i.699

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@article{leila2024,
  title        = {{GEOPOLITICS, UNCERTAINTY, AND CRYPTOCURRENCY: A LOVE TRIANGLE GONE WRONG}},
  author       = {Leila Dagher et al.},
  journal      = {Applied Finance Letters},
  year         = {2024},
  doi          = {https://doi.org/https://doi.org/10.24135/afl.v13i.699},
}

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Evidence weight

0.73

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact1.00 × 0.4 = 0.40
M · momentum0.72 × 0.15 = 0.11
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.