Effects of the geopolitical risks on Bitcoin returns and volatility

Ahmet Faruk Aysan, Ender Demir, Giray Gozgor, Chi Keung Lau

Research output: Contribution to journalArticle

15 Citations (Scopus)

Abstract

This paper investigates the predictive power of global geopolitical risks (GPR) index on daily returns and price volatility of Bitcoin over the period July 18, 2010–May 31, 2018. Considering Bayesian Graphical Structural Vector Autoregressive (BSGVAR) technique, we find that GPR has a predictive power on both returns and volatility of Bitcoin. The results of the Ordinary Least Squares (OLS) estimations show that price volatility and returns of Bitcoin are positively and negatively related to the GPR, respectively. However, findings from the Quantile-on-Quantile (QQ) estimations state that the effects are positive at the higher quantiles of both the GPR as well as the price volatility and the returns of Bitcoin. Therefore, we conclude that Bitcoin can be considered as a hedging tool against global geopolitical risks.
Original languageEnglish
Pages (from-to)511-518
Number of pages8
JournalResearch in International Business and Finance
Volume47
Early online date27 Sep 2018
DOIs
Publication statusPublished - Jan 2019

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Price volatility
Predictive power
Quantile
Hedging
Quantile estimation
Vector autoregressive
Ordinary least squares
Return volatility

Cite this

Aysan, Ahmet Faruk ; Demir, Ender ; Gozgor, Giray ; Lau, Chi Keung. / Effects of the geopolitical risks on Bitcoin returns and volatility. In: Research in International Business and Finance. 2019 ; Vol. 47. pp. 511-518.
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Effects of the geopolitical risks on Bitcoin returns and volatility. / Aysan, Ahmet Faruk; Demir, Ender; Gozgor, Giray; Lau, Chi Keung.

In: Research in International Business and Finance, Vol. 47, 01.2019, p. 511-518.

Research output: Contribution to journalArticle

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