ScienceDirect Publication: Finance Research Letters
Tue, 19 Nov 2019 12:01:21 GMT language
Publication date: December 2019
Source: Finance Research Letters, Volume 31
Author(s): Gang-Jin Wang, Chi Xie, Danyan Wen, Longfeng Zhao
Bitcoin was launched to solve the distrust and uncertainty in the existing financial system. Here we investigate risk spillover effect from economic policy uncertainty (EPU) to Bitcoin using a multivariate quantile model and the Granger causality risk test. We use the US EPU index, equity market uncertainty index, and VIX as proxies for EPU. We find that risk spillover effect from EPU to Bitcoin is negligible in most conditions. Our work provides useful information on building asset portfolios for investors who have investment strategies in Bitcoin, because Bitcoin can be acted as a safe-haven or a diversifier under EPU shocks.