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A comparative analysis of cryptocurrency returns and economic policy uncertainty pre- and post-Covid-19

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  • Umar, Muhammad
  • Shahzad, Fakhar
  • Ullah, Irfan
  • Fanghua, Tong

Abstract

This study analyzes the impact of economic policy uncertainty (EPU) on cryptocurrency returns for a sample of 100 highly capitalized cryptocurrencies from January 2016 to May 2021. The results of the panel data analysis and quantile regression show that increases in global EPU have a positive impact on cryptocurrency returns for lower cryptocurrency returns quantiles and an adverse impact for upper quantiles. In line with the existing literature, the Covid-19 pandemic resulted in higher returns for cryptocurrencies. Inclusion of a Covid-19 dummy in the models strengthened the impact of EPU on cryptocurrency returns. Furthermore, the relationship between the change in EPU and cryptocurrency returns was direct in the pre-Covid-19 period but inverse in the post-Covid-19 period. These results imply that cryptocurrencies act more like traditional financial assets in the post-Covid-19 era.

Suggested Citation

  • Umar, Muhammad & Shahzad, Fakhar & Ullah, Irfan & Fanghua, Tong, 2023. "A comparative analysis of cryptocurrency returns and economic policy uncertainty pre- and post-Covid-19," Research in International Business and Finance, Elsevier, vol. 65(C).
    • Handle: RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000910
    DOI: 10.1016/j.ribaf.2023.101965
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