1. Economic Policy Uncertainty in China and Bitcoin Returns: Evidence From the COVID-19 Period.
- Author
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Chen T, Lau CKM, Cheema S, and Koo CK
- Subjects
- COVID-19 epidemiology, China epidemiology, Humans, Models, Economic, Regression Analysis, SARS-CoV-2, COVID-19 economics, Commerce economics, Commerce statistics & numerical data, Economics
- Abstract
This paper analyses the effects of the Chinese Economic Policy Uncertainty (CEPU) index on the daily returns of Bitcoin for the period from December 31, 2019 to May 20, 2020. Utilizing the Ordinary Least Squares (OLS) and the Generalized Quantile Regression (GQR) estimation techniques, the paper illustrates that the current CEPU has a positive impact on the returns of Bitcoin. However, the positive impact is statistically significant only at the higher quantiles of the current CEPU. It is concluded that Bitcoin can be used in hedging against policy uncertainties in China since significant rises in uncertainty leads to a higher return in Bitcoin. JEL Codes: G32; G15; C22., Competing Interests: The authors declare that the research was conducted in the absence of any commercial or financial relationships that could be construed as a potential conflict of interest., (Copyright © 2021 Chen, Lau, Cheema and Koo.)
- Published
- 2021
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